There is an AVG Plus Firewall Edition, but the standard and free editions do not include a firewall, so for that you'll have to look elsewhere. (I'd turn my back to Norton firewall...I've had bad experiences in the past as well.)
The firewall included with Windows XP is bare-bones...it has limited functionality and ignores out-going traffic. Thus, it will help prevent an attack from coming in, but if something does make its way in, Windows Firewall will let is access the internet, 'phone home', download other files, or send personal data out without a second thought. That's why I recommend ZoneAlarm, which comes in a free version that's more than capable of watching your back.
Finally, security will be better in Vista, including an updated Windows firewall, but still not perfect...third-party protection and daily updates will not be avoidable anytime soon.
Hope this helps,
This may sound dumb but I understand that AVG is an antivirus program, but does it have a firewall. And by the way, my Norton is expired and not too happy with it anymore, lots of worms get through it and can't get rid of them, have to reformat my computer at least yearly to get a clean computer again and yes Norton does slow my 1.4 ghz 1 gig ram system down. I also am seeing that Etrust Internet Security sounds like a good program, or should I only get the EX antivirus? Does XP Pro Windows firewall work well enough to just get an antivirus program and not worry about the internet security? Some help would be nice, and I'm just waiting to see if The new Vista Windows will be better than XP, sorta sick of XP also, can't get remote assistance to work, and it would be very helpful so I could show my family members how to do things from 1000 miles away.