Most firewalls have their own uninstall program. For example, if I go to Start > Programs, on my PC, and then to Zone Labs, there's an option to 'Uninstall Zone Labs Security' (which gets rid of Zone Alarm).
There's probably something similar for your firewall. However, some security software requires you to download uninstall software. For example, if you're trying to get rid of Norton, you need this:
http://service1.symantec.com/SUPPORT/tsgeninfo .nsf/docid/2005033108162039
Whichever firewall you're trying to get rid of, remember that you can't uninstall any program which is currently running. (Use Ctrl-Alt-Delete to access the task manager, and shut down the firewall, before attempting to uninstall it).
Chris