I would actually advise not using the Windows Firewall. Though it is a step in the right direction, it is not a bidirectional firewall. It only blocks traffic coming inbound. It does nothing to traffic in the outbound direction. Understanding this makes me question why they call it a firewall in the first place. If anyone has the means, I would definately recommend a third party firewall to protect your local computer.
You are correct though, it would be best to run only one firewall, though running two will not mess your system up like running two anti-virus/spam filters will. It is common for larger businesses to run multiple firewalls and Intrusion Detection Systems on their networks. They typically use a combination of hardware and software firewalls.
As far as your certificate errors, you are getting these because you are most likely connecting to your domain name (expected) using a secure protocol. Since you are on a shared host and don't have your own SSL certificate, your are using the host default certificate which is in the name of hostXX.hostmonster.com. This is because the certificate is created using the name of the host. So connecting to
https://www.yourdomain.com would produce a certificate error (name mismatch) when trying to connect using a secure protocol. If you connect using the domain name
https://hostXX.hostmonster.com/~username, then you would not run into the certificate issues you mentioned.
~regards