I should state up front that I personally recommend that my customers use a hardware firewall which has numerous advantages over a software firewall. Using a hardware firewall, such as those made by Linksys, Netgear, D-Link, etc, will allow you to share your broadband connection with multiple users. The firewall code runs on the hardware box itself, meaning your computer's resources aren't being used, and in general the hardware firewalls are pretty secure as long as a good password is used on the box. There is also a great deal of user-generated documentation for these devices, covering a wide array of configuration scenarios.
Portforward.com has written an excellent article describing what a firewall is and comparing hardware vs. software firewalls. Check that out here. This will cover the basics and then some.
AVG Firewall Tutorials & Guides:
Many excellent FAQs and guides have been written by AVG, but people rarely think to look for them so here are a few of the best:
- How to use the AVG Firewall Configuration Wizard
Understanding Profiles, Area Detection and Automatic Profile Switch
How to allow Microsoft file and print sharing through the AVG Firewall
How to allow an XBOX connection through the AVG Firewall (Windows XP)
How to allow an XBOX connection through the AVG Firewall (Windows Vista)
How to allow Outlook to communicate with an Exchange server if problems occur after enabling the AVG Firewall
You can also download any AVG software manual here: http://www.avg.com/download-documentation
Several step-by-step guides are also provided here: http://www.avg.com/download-documentation#tba2