Some suites such as Avast, Mcafee etc. that incorporate Firewall, when installed, block Windows Firewall and go on to control connections with their own Firewall,
As for external firewalls, there are currently not many options available... Zone Alarm, Comodo Firewall, or Glass Wire,,,in these cases you have to look at the directions.
Glass wire should work next to the windows firewall, while in the others, you have to disable it manually, although it can coexist with Windows Firewall in both cases