Firstly the original comment was mine - it's intent was as follows.
If you aren't familiar with 'On Demand' versus 'Real-Time' virus protection, then to be safe - only run one AntiVirus.
Just because running one is better than running none - it doesn't follow that running two is necessarily better than running one.
Several others also subsequently commented - running two firewalls is generally asking for problems, incompatibilities, errors etc. You want one firewall to be in charge.
Windows firewall really is a (serious) joke. It's better than nothing at all - but not by much (some reviews I have read still give it 0 out of 10 - because it doesn't quite have enough good points to reach a score of 1. For some users the false sense of security that the windows firewall provides is the biggest security risk of all). Others (like Online Armour) know that it will probably be present and active - and can 'work around it' but if you were to throw two other firewalls onto the machine - you may find that you cannot connect to your network at all - they may possibly block each other out as each tries to route all the network traffic through their program.
When it comes to antivirus, HIPS, anti-spyware, change monitoring etc they all do a little piece of the pie, and most approach the problem in a slightly different way. Real Time Antivirus tries to scan each file according to a list of rules before another program can access it. Now if you had two programs trying to scan a file before another program (including the other antivirus) could access it - or if they were polite to both permit scanning - you would at the very least potentially have a significant performance problem on your pc.
For Advanced users who feel they should run 2,3 or 7 different antivirus programs - they select one of those programs to handle the real time scanning (as each file is accessed) and the remaining programs have all real time protection turned off - and are setup to scan only "on demand" (ie. a manual virus scan - started by the user from the antivirus scan menu).
So yes there are ways to run multiple antivirus products and multiple firewalls on a single pc - and in some cases, there is a valid reason for doing so. But for the most part the general "rule of thumb" is install only one firewall and one antivirus product on a PC.
Installing 3 will not make you 3 times as secure - as it may mean that you have 3 times as much to update, configure, test and 3 times the chance for errors to occur. Some people list as an example of how secure their pc is by listing 35 different virus scanners, antispywares, and ultra-doohickies they have installed. It only takes a bug or vulnerability in ONE of those products to open the door wide open and expose their data to some script-kiddy lowlife. Don't listen to them. If you have just ONE up to date and correctly configured anti-spyware/virus program and a firewall that is up to date and correctly configured - you are already way ahead in the game.
And as someone said sometime after I posted.... the "1 per PC rule" is partially a support thing - because users who don't know what they are doing - or why they are doing it - when they want 5 of everything installed - will inevitably have problems - and next will be calling on support for assistance (to uninstall/remove all the extras).