It also depends on what firewalls you use. Some all-in-one security software such as Kaspersky turn off the windows firewall.
You just need to try out different combinations to see what works best. One thing most people agree on is that windows firewall on its own is not adviseable so, in your case Fred44, I would definately stick with what you have (Mcafee & windows) and if you have problems, drop windows. You will not be risking any compromise in security by having the two.