Antivirus software always warns that any other antivirus currently installed should be uninstalled to avoid serious problems. From what I understand, one program may see another AV as a potential virus, or think that its actions are malicious. What's the actual danger though? Will the two programs try to fight it out?
Specifically, I'm getting this warning from E-Set with Mcafee already installed, though I've seen the same warning from other AV programs.
Stick with one antivirus as two can result in the following (and more) problems:
Lets say you have two Antivirus installed A and B. They are both actively protecting your system (scanning files and programs you use). They might identify each other as malicious software and try to remove or disable each other rendering your system vulnerable as you might end up with 2 antivirus programs that are not working properly.
Another point is the possibility of a deadlock. Lets say you open Firefox (firefox.exe) scanner A and B both notice that you requested to open Firefox so scanner A locks the firefox.exe file and intends to scan it but scanner B hinders it from scanning as it wants to scan it as well. Therefore they are blocking each other resulting in a so called dead lock.
Simon's answer is good, but I also want to add most modern major antivirus software applications are aware of each other now. They can detect that another AV package is already installed and will give you a warning and options. Usually, they will prompt you to uninstall the other AV program or let you install them side by side.
