The paid version of AVG has a firewall, and a very good one. If you have the free one, any mention of a firewall is to intice you to purchase the full paid version. If you have the paid version double click the coloured square in the toolbar and see if the firewall is active, if not you should contact AVG.com
When you have a paid version you should always update via the AVG program on your computer (update), not through the website or else you may be downloading the wrong version.