You were running AVG8, do you still have it on the computer? PP has some good suggestions for both firewalls and anti-virus programs HERE
I have used AVG 8, which I decided I didn't care for, though now I cannot recall why, and am now using Antivir which I like, though it has an annoying pop-up after each update wanting you to purchase their pro version. I just "x" it out however.
I use the built in Windows Firewall and have had no complaint whatsoever. Now some folks argue that it only has "one way" protection...stops items coming in but not going out. I have used it for several years and have been pleased with it.
I decided to go with the Windows Firewall after having slow down problems with Zone Alarm but that is also a good firewall.
I received this advice from a fellow on another forum concerning the Windows Firewall and this is why I decided to go with it;
Windows Firewall blocks only incoming stuff whereas third-party firewalls block both incoming and outgoing stuff. This means that were you to inadvertently allow a trojan to be installed, WF would not prevent it from calling home with whatever information it had managed to harvest from your computer (passwords, monitored keystrokes, etc, etc). So, in theory, a third-party utility will offer a greater level of security than WF. However ...

... simply adopting safe surfing practices (not downloading applications from warez sites or via file-sharing utilities, not installing no-cost applications from little-known developers, etc, etc, etc) and running a good antivirus utility should be sufficient to prevent any trojans or other unwanted items from finding their way onto your computer and so a bi-directional firewall is, IMO, of less importance than many people seem to think.

Furthermore, look back over old threads and you'll find few (if any) instances of a person being "stung" as a result of using WF - but you'll find significantly more threads relating to problems caused by the use of a third-party firewall (botched updates, etc).

There is, however, no "one size fits all" answer here. Should you use your computer for online banking/shopping and should it be shared with file-sharing children, then it might not be a bad idea to install a third-party firewall, if you trust the other users to surf sensibly, then WF is probably perfectly sufficient for your needs.
You also have some unnecessary auto starts which in turn has these running all the time in the background and can use unnecessary resources. All of these listed below can very easily be run manually and will not affect the daily running of the computer if auto start is turned off;
BCMSMMSG....BCM voicemodem driver. Required for dial-up if you have one of these modems...If you are NOT on dial up you don't need this autostarting
TkBellExe....Application Scheduler installed along with RealOne Player. Once installed, it runs independently of RealOne Player. Not required
QuickTime Task...System Tray access to Apple's "Quick Time" viewer from version 5 onwards
iTunesHelper...Installed with Apple's iTunes for Windows. Uses ~3-4MB of memory
SunJavaUpdateSched...Sun Java updater, better to run manually.
MSMSGS...Windows Messenger utility. If you don't use Windows Messenger, this can be annoying. Available via Start -> Programs. Go to Windows Messenger > Tools > Options > Preferences and uncheck "Run this program when Windows starts" NOT MSN Instant Messenger.
AIM6...doesn't need to run at start up. Can be run manually.

I recommend using either CodeStuffStarter or Mike Lin's Startup Control Panel to easily control auto starts. Don't use msconfig as this should be used only as a troubleshooting tool.