ZoneAlarm is one i have used in the past, its free and easy to use

Does AVG have a firewall?

Only in the AVG security suite AVG Free - Download AVG Internet Security for Windows XP and Vista which you have to pay for

If I were to buy the Full AVG, itwill have a firewall then?

Is it any good comparing to a stand alone one?

Yes, the paid for AVG includes a firewall, but i have never used it so I cant say how good it is, but AVG has a good reputation so i would expect the product to be a good one