The Online Armor installer will automatically handle the Windows firewall. BTW, the firewall was not changed by IE8, they actually have nothing to do with each other in that regard.
After you train Online Armor, your boots should be faster than with TM. It does take a few (4 or so) boots to train that. The AntiVir, MBAM and WinPatrol software loads quickly.
WinPatrol is a monitoring program, not active antimalware like the others. What it does is watch for changes in critical areas (startups and services, for example) and requires that you permit them before allowing them to run. Basically, it is watching for important changes in your system that it isn't sure about, and prevents then from being made without your permission. It "knows" about all normal Windows system programs, so they don't trigger any warning.
One further thing, if you use broadband, but do not have a hardware router/firewall (even if yours is the only system to connect), then I strongly recommend getting one. They are not expensive these days and for inbound protection and inbound or outbound blocking access to "bad" sites or protocols at your gateway, it significantly hardens your security.