Journal: Concurrently Running Firewalls

I'm the Security Manager for one element of a multi faceted organization. That said, some of the dimmer lights around the table want to run both Windows firewall (XP) and another third party vendor's solution at the same time. I've come out against this as I think it's stupid and potentially problematic. I've had both yes and no responses from MS on this issue. Can the Slashdot user community provide reasons pro/con for this solution?