what is a firewall do we already have it with AVG
A firewall is a piece of software that constantly looks at the network (or internet) traffic coming from and entering your PC. The firewall basically tries to block data leaving your PC that you don't want to. This has the added bonus of making your PC hard to 'see' by any would be attackers on the internet. Typically, firewalls achieve this fairly simply by keeping a record of programs and protocols that the user has 'authorised' to access the internet on that computer.
Its generally acepted these days that a complete internet security solution comprises both a firewall and antivirus component.
I've tried several security solutions at home - including using big, all-in-one security suites like Norton IS and Zonealarm. I've found that most of these are massive 'system hogs' (slow your computer down to a crawl - not good if you plan on fragging other 1337's

). Worse still, having too much security software on board can be counterproductive.. i've even seen two different peices of security software falsly detect each other as a virus! What me, and most of the Nurdz I know tend to do is to keep windows XP up to date, and let it sort out the security for you.
XP only thinks its secure if its got both firewall and antivirus software running on the PC. As of service pack 2 onward, XP really really nags you about security by default. Basically it puts a red shield icon on the toolbar that doesn't go away until your computer is sufficiently protected. Furthermore, clicking on the shield starts a security wizard that helps you simply and quickly configure your PC to be safe.
The firewall component is already part of windows XP, so thats easy to set up. What you need to do then is sort out a third party antivirus solution. XP SP2 actually recommends several of these and even guides you through the install. Personally, I recommend something fairly lightweight for home use, like EZ antivirus or NOD antivirus. As well as being less of a burden on your system, these tend to have the advantage of much lower cost (I think they're free for the first 12 months).
Basically then, when you get your broadband.. update XP to SP2 (if its not already), make sure all the security alerts are active in windows, and if its complaining about there being no antivirus software, follow along to install something appropriate. If you already have antivirus installed and running, that isn't being detected by XP, you can, at your own risk, tell XP that you are going to monitor your antivirus solution yourself. XP will still handle the firewall as before.