Emsisoft Anti-Malware is a great security product, it has a very good heuristic engine, and a very fine tuned behavior blocker. If you pair this product with the Windows Firewall, and use some common sense while online, you'll have a decent security protection. There are a few settings you can change in Emsisoft Anti-Malware, which will increase your system security (eg: Paranoid Mode)
Now, because your question is basically, is Online Armor (the Firewall within Emsisoft Internet Security) better than Windows Firewall, I'll have to go with yes, Online Armor is a better option as a firewall.
And there is a very simple reason behind this opinion, Online Armor Firewall does come with a Host Intrusion Prevention System, while Windows Firewall behaves more like an traditional firewall (monitoring outgoing an incoming connections). Not only this, but Online Armor is easier to use, and more user friendly than the Windows Firewall.
Online Armor has a Free version also, which is pretty good, so a decent variant here, if you are interested in increasing your security, is just to go with this version.