Well, Windows firewall (as far as I know) isn't a "firewall" like Kaspersky. The limits of Windows firewall is basically up to blocking ports, but other firewalls do a bit more.
Basically, I think of windows firewall as an extension of Windows Defender/MSE.
With that said, I don't think its going to protect you anymore with it on than it would off (provided Kaspersky is running
). You'll at least rid yourself of the windows firewall popups!