depends on your vbersion of AVG, they did start includinga firewall. If you don't have one then you need to get one!
go here
http://www.grc.com/default.htm and down the bottom follow the Shields up test. This will tell you how good (if at all) your firewall is.
Spybot/Ad-aware are malware/spyware scanners, these are highly recommended as they will make sure you haven't inadvertedly installed some dodgy software that is reporting home.
