I'd agree with most of what Andrew wrote, that's a good primer for understanding the application of the first law here. Note that we're interested here in processes in which pressure will change. However, the caveat I'd add is that a process CAN be isothermal and adiabatic if the fluid is incompressible.
All fluids, be they liquids or gasses, are compressible to some minor degree. So all fluids will heat up according to the equations provided by Andrew above. However, the more incompressible they are, the less they will increase in temperature.
Consider the isentropic compression of water. Starting at atmospheric pressure and 70 F and compressing to 50 psig, will result in the pressure increasing by a factor of roughly 500%. The temperature increase on the other hand, is on the order of 0.0053 degrees F, an increase in absolute temperature of only 0.001%.
So to answer your question, an incompressible fluid can go through a process which is adiabatic and isothermal.