It's common wisdom, espoused in every security-related article on the web (including the one I
linked to in this thread). Many even recommend not even having more than 1 AV installed at a time. They tend to enable the resident shields automatically, without user intervention. Even Microsoft now advises you to not install a second AV app. Vista even pops up a warning message when you try to do it; hopefully XP SP3 will do so as well. I don't know about explicit evidence, but
Google is filled with admonitions against it.