Since MSE does not provide a firewall you need to leave the windows firewall "ON". That is unless you choose to download and install a firewall from a reputable provider. If you do choose to use an outside provider for your firewall, then you would need to turn the windows firewall "OFF".
Similarly to "Bacon", I also use Comodo. I put it on computers that I fix/clean/set-up. It does a good job and has an easy-to-use interface.
Off, I just have avast! free home edition on which acts as a firewall, even though it isn't called one. The Windows one is so damn intrusive, same as a lot of windows features
Turn off windows firewall, Then use something like Comodo(Make sure you set all your applications up properly) or buy Bullguard interent security, I was very impressed with it and surprised how well it stops viruses or something.
A golden oldie. I have been told by every expert on the planet, that if a commercial firewall is used (and almost everybody does use one) then Windows firewall should be disabled. In fact most reputable firewalls automatically disable Widows FW. Mine does.