Firstly, I doubt if there's any real difference in performance - i.e. they both protect your 'puter when on line.
I've had McAfee Personal Firewall Plus on my desktop for quite a long while now and I find it is inobtrusive, simple and intuitive to use (e.g. change settings).
Daughter got a laptop a few weeks ago and as PCW had "an offer" got NIS 2004 with it. That is also simple to install and so forth but I've found it more difficult to get to grips with changing settings and so on. Of course she doesn't care; she's just got a 'puter.
As an alternative to both firewalls you might want to consider Zone Alarm which is free. I just prefer the McAfee interface etc. click here