I had read somewhere (don't ask me where...), that it is advisable to turn off Win firewall on all Win versions prior to Win 7.
On Win 7, there is no need to, because something has changed in the Win firewall.
Anyway, I don't think the win firewall is needed if you use AIS firewall.
However, the above said, on my XP system I have the AIS firewall installed and up plus the win firewall and no problems whatsoever.