Jonathon,
Though Sandra already answered, I'll explain why it's not recommended a bit more in depth.
Though it's possible to run both active (real-time) programs at the same time, there is always the potential for a conflict, since both are to some extent going to be doing similar things. This means that unintended interactions can occur, even if those developing the antimalware applications are attempting to avoid them as in this case.
The real problem for most users, however, is actually much more simple to predict, though it's more likely to create a real problem in this case. The issue is what to do when there is an overlap in protection where both programs detect something, good or bad, and then ask you what to do about it.
For most users just dealing with the question that arises is enough, but when both programs alert about the same item, the confusion more than doubles. The reason is that now there are two programs offering to perform some operation, usually called a block or deny, for the same event. So which choice should you make for which program and is the event even a truly important one? And what if one program automatically makes a decision, then what happens if the other disagrees (less likely)?
I'm not saying this can't be done, I've had this very situation myself multiple times, but the additional alerts can be confusing and deciding which program to have perform the deny, since the other will fail if you try to deny with it too, is simply useless confusion with no benefit.
As you'll note from other threads here there are also situations where the design decisions made by various software vendors have caused at least indirect conflict between the applications. This has led some vendors to state that you should uninstall the other's application if you intend to use theirs. If you continue to use both you are now in a no mans land between those vendors and may not receive support from at least one of them.
For these reasons, it's usually best to only run one active mode or real-time protection for antispyware just like the recommendation for antivirus that's long existed. Generally you can run a second antispyware for manual scans only without significant issue, though even this can create conflicts and at least overhead under certain circumstances.
Bitman