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.
http://www.smallbusinesscomputing.com/webmaster/article.php/3103431

Larry