Firefox does not have a built-in firewall, so probably AVG is referring to its own "firewall" for Firefox. Security software usually will interact with Firefox -- intercepting and filtering your requests to websites -- in one of three ways: (1) Since Firefox (by default, if not changed) connects using the same settings as IE, simply integrate with IE. (2) Install an extension on your system that Firefox detects and that you can choose to activate. Check the Add-ons page to see whether you need to activate it. Either: * Ctrl+Shift+a * "3-bar" menu button (or Tools menu) > Add-ons In the left column, click Extensions. Then check the bottom of the list (gray background) for any possible disabled AVG extensions. (3) Change your proxy settings to change how Firefox connects to the internet. Unless you have instructions to do this, it's probably not relevant, but you can check here: * "3-bar" menu button (or Tools menu) > Options > Advanced panel > Network mini-tab > "Settings" button The default setting is "Use system proxy settings".