You can think of a firewall as a lock on the door to which YOU control the keys, keeping out those you don't invite in, while an anti-virus is a disinfectant...just in case someone you DO allow in has germs...or they sneak in when you open a window temporarily.

A firewall also controls stuff like what those inside your house (programs) can do about phoning out and reporting on your behavior.

A web filter like Proxomitron helps you see the sites you visit on YOUR terms...it is a pop-up blocker and more. It can block flashy ads that are NOT pop-ups...it can stop a site from re-directing you to another site without your permission...it can control whether clicking on a link open it in a new page/tab....it can deal with javascript...it can prevent a site from putting scrolling text in your status bar...it can control how sites with complex 'frames' are viewed. LOTS more....cookies....embedded objects like music and videos....etc.