EDIT After searching on XP I have not found the firewall driver it could be only on Vista or it could be that I tried AVG+Firewall some months ago and the problem that you cannot delete Legacy entries in the registry on Vista.
I used to like AVG bought two year licence a few months ago, but I do not like programs that install features that you do not need this can cause conflicts etc. on your computer.
It appears they have decide to install their firewall driver? if you used it or not checked their website and the two files are the same size AVG Antivirus and AVG Antivirus+Firewall.
On Vista I found it under hidden devices set at On Demand (Changed to Disabled).
Have not found it on XP yet but I did a manual update on my partners computer and it was listed in the update drivers.
Dennis