As for CAVS, you just have to let the automatic updater download the latest malware signatures. As for Windows, unless you have integrated the latest updates on a CD you’ll get like 80 hotfixes from Microsoft, via Windows Update.
They should work together, but I think you should disable the HIPS function in CAVS because Comodo Firewall Pro 3.0 has Defense+ which is a more advanced HIPS than the HIPS that CAVS uses. (in the next version of CAVS, 3.0, the HIPS system will be shared if you have both programs. See this thread if you’re interested.)
It’s an good idea to put all installers for your firewall, AV and other security products on a CD or other removable storage and unplug the network cable your computer during installation, as this is when your computer is most vulnerable. After installation, install all security softwares, then plug your network cable back in, and then install all available updates from Windows Updates. Remember to keep your softwares up-to-date. Might get Opera or Firefox (with Adblock Plus and NoScript) for your own safety.