|If the anti-malware software has built in firewall features, it disables the Windows firewall. Sometimes you get false messages about the system having no firewall enabled if the anti-malware's software was not 100% properly written, or Microsoft's security related software just doesn't get that right sometimes. You can safely ignore the message from Windows about that, if the anti-malware software has built in firewall features.|
There is often a FAQ about that on the maker of the anti-malware's web site.
It is NOT a good idea to have more than one anti-malware program installed that has (a) resident module(s) (a part that runs all the time Windows is running ) that scans in the background for suspicious activity, etc., because two or more resident modules are well known to sometmes clash with each other and cause problems.
If you DO have more than one anti-malware program installed that is running (a) resident module(s), then you should DISABLE all but one of the program's resident modules from running in it's configuration settings. You can still choose to run full scans manually with any of them, and you can switch which one has it's resident moudule(s) enabled easily in their configuration settings
Avast! free and paid, AVG 8.x free and paid, Spybot free and paid, paid Malwarebytes, paid AdAware, trial and paid Norton / Symantec products all have at least one resident module.
Microsoft's Windows Defender has a resident module but it doesn't seem to clash with anything.
AdAware free, Malwarebytes free, some others, usually the free version only, have no resident modules.
If you have more than one anti-malware program installed and don't know how to disable it's resident modules, tell me - us - which ones you have installed.
You usually have no problems running an online anti-malware scanner from the web when you have anti-malware software installed that has (a) resident module(s) running.