Should I use updated Windows Firewall or AVG Firewall?

Travis, Assume that you are referring to AVG Internet Security. When AVG IS is installed Windows firewall is disabled. First try the AVG Firewall & if you don't get on with it you can always revert back to the Windows firewall. If you wanted to do that afterwards have a look @ this article (https://support.avg.com/SupportArticleView?urlname=How-to-add-or-remove-features-in-AVG).
AVG Guru

AVG says theres Windows Does the Same. Very Confused!

True, if you already paid for it then you might as well try AVG's firewall, but I think it is more trouble than it's worth. But if you want to use AVG Free, then you will either use Windows Firewall or install a third-party firewall. Unfortunately if you install ZoneAlarm Free Firewall, AVG will harass you with unwanted command line scans of harmless ZoneAlarm temp files:
https://support.avg.com/answers?id=906b0000000D4q6AAC

Travis, Assume that you are referring to AVG Internet Security. When AVG IS is installed Windows firewall is disabled. First try the AVG Firewall & if you don't get on with it you can always revert back to the Windows firewall. If you wanted to do that afterwards have a look @ this article (https://support.avg.com/SupportArticleView?urlname=How-to-add-or-remove-features-in-AVG).
AVG Guru