Windows already has a firewall by default since XP Service Pack 2. Depending on your McAfee product (add this information to the question please) you may have an additional firewall product in McAfee.
Having more than one AV software program running on your computer at any given time is not a good idea. McAfee requires a subscription and annual payments, Microsoft Security Essentials is free. MSE is generally regarded as "good enough" in most AV software reviews. I've always found McAfee to be bloated and generally low quality.
Personally, I would recommend uninstalling McAfee and installing Microsoft Security Essentials and making sure the windows firewall is turned on (in the Control Panel). However, if you've just recently payed for another year of McAfee, you may want to wait until your subscription to that has expired before removing the McAfee software and installing MSE.
1Who has instructed you to do this? Do they know you already have McAfee installed? – music2myear – 2012-04-18T17:42:06.077