Honestly, the Microsoft Firewall is a load of shit. You don't need it running. With the most basic internet security, you're pretty safe. Keep a fairly new version of a virus checker updated and running, make a (serious) login password--not your name, not "god", not bobdole, something with capital and lower case and numbers, if not punctuation as well. Don't download shit from warez sites, and only go to the quality pr0n sites, and you're not going to run into much trouble.
If you use a wireless router, either block all unregistered NIC MAC addresses, or use 64 for 128-bit WEP encryption (MAC address registration is a better bet... in spite of the name, Wired Equivalent Protection, WEP is not nearly as secure as a hard line).
Unless you piss off someone who's pretty serious about hacking, you're not going to have much to worry about. It's going to take a damn resourceful script kiddy to get past a few basic safety measures, and none of them will be a pain in the ass and interefere with half your other applications the way the MS firewall does.