I've often seen it suggested online that having both a third party software firewall and the ICF enabled is not a good thing and may lead to conflicts among the drivers used by the firewalls. I have also read that having two software firewalls enabled can slow throughput. These would seem like reasonable assertions, though I have tried running ICF with several versions of Kerio without any indication of a problem -- just for kicks. Ordinarily I do NOT have ICF running, preferring to depend upon Kerio instead.
ICF is a very good anti-intrusion package but has no control over egress, so it won't help you spot malware trying to call out from your system. (ICF assumes that anything running on your system is OK.)
I have not been impressed by Norton Internet Security, but I admit that I have a basic emotional problem with their (Symantec's) approach to software design.
I would guess that running ICF plus a good anti-Trojan package (I'm not talking about an anti-virus package here. I use ASquared.) would be adequate for most people. If you are on a broadband connection it would also be best to have a router, preferrably one with SPI, performing NAT between the modem and your computer.
It is my understanding, possibly mistaken, that the ICF included in SP2 will include some kind of egress control. I look forward to testing it, but not quite enough to cause me to install the release candidate of SP2 that's available from MS right now.
Ernie