AVG free is an antivirus and an anti-spyware, not a firewall. XP's firewall is only available in SP2 and later updates so if XP isn't updated with SP2 after you reinstall (go to start => run and type winver to see what service pack is installed) first thing you'll need to do is install
SP2 (download it and save it on a CD) or
SP3 and enable the firewall before you connect to the internet.