Two different questions with different answers.
1. Regarding the firewall: You should run only a single firewall, and in
my view, ZA is the better of the two.
2. Regarding Windows Defender, a single anti-spyware product is not enough
to protect you. None is good
enough and you need at least two. Note what Eric Howes, who has done
extensive testing on Anti-Spyware products, states:
"No single anti-spyware scanner removes everything. Even the
best-performing anti-spyware scanner in these tests missed fully one
quarter of the "critical" files and Registry entries" See
http://spywarewarrior.com/asw-test-guide.htm
I personally run the following anti-spyware programs (all are free):
Spyware Blaster
Adaware
Spybot Search and Destroy
Windows Defender.