AVG anti-virus question… says I have no firewall, won’t update, etc.?

Okay I’m getting really tired of this. Every time I turn on my computer, a red shield with a white x says I have no firewall protection, and I’m not protected. I go to it, and it says I DO have a firewall and it is ON.
My AVG anti-virus thing says it might be out of date So I go, it says database is outdated for both anti-virus and spyware… and the update manager needs a restart. I update them all, restart, and then the same shield pops up and says the same thing. Everything is the same. I have done this tons of times. The last time it had the same message, plus it said you have NO firewall!! Which of course I do. I keep trying to update things, do scans, etc. and nothing is working.

try superantispyware its free have heard avg is having problems

What is Spyware?