The recommendation is normally not to run more than one *SOFTWARE* firewall as this can cause a conflict. By all means run a software firewall in the PC in conjunction with the router's hardware firewall, because the router's firewall only controls incoming internet traffic. A software firewall (not Micro$tuff's useless effort) will also control outgoing traffic to the internet. You can therefore select which programs are allowed to have internet access.
It is actually more important not to run multiple AntiVirus programs than multiple firewalls, but one software firewall is adequate.