Answer:
You could install two separate firewalls, but what would be the point they would both fight to do the same job, this will cause problems.
Choose the firewall you like the most, if you not sure which to install then have a look at Zonealarm, it is free and very good, I have posted the link to Zonealarms website.
http://www.zonealarm.com/security/en-us/fza-install-steps.htm
http://www.gl-computers.co.uk/free-articles
Hope this helps
--- Two software firewalls often conflict, so it is not useful. However, it is possible to have a software firewall and a router based firewall.