Depends what you want the firewall to do - block people outside connecting to your machine, or block stuff on your machine connecting out. If it's the first, as Yams said, don't bother with a software one (on windows anyway - rules change with linux) then and let/get a router do that for you
Software firewall's mainly useful for the latter only - I still use Kerio for that, despite it being fairly old now.
As for AVG Free, I'm a bit wary about version 8 what with it's recent inbuilt DDoS functions (though I think that might now be removed as of yesterday's updates) - I stick to either AVG 7 or no antivirus on my machines and rely on common sense and sensible habits, prevention is better than a cure especially with some of the worst stuff out there which most anti-virus software can't deal with anyway