You can have both a hardware firewall and a software firewall running at the same time, with no problems.
I have a DSL router with a hardware firewall supplied by my ISP, also I use Online Armor Beta as a software firewall. Don't use two software firewalls at the same time.
Here is a link that will answer your question, better than I can.
I am using a new integrated wireless enabled modem that has a built in hardware firewall. I am using Comodo Firewall Pro in my system. Any conflict with 2 firewalls running at the same time? Should I disable the one in my modem? Also, what is the purpose of a hardware firewall? Appreciate feedback here. Thanks.