Norton even tells you to disable the XP firewall.
In the main, two firewalls, or two resident antivirus programs, will usually increase overhead, and may conflict - some a lot worse than others.
No harm in running a content blocker such as proxomitron with a firewall, -except you have to watch out for the "GOTCHA".
If you use a "local proxy" such as proxomitron (which is allowed out by the firewall) and have a default "loopback rule" in the firewall, then ANY application can make outgoing HTTP connections looped through the local proxy.
If you use a local proxy and a firewall, you MUST find and disable any systemwide loopback rule.