The Anti-Virus is uses for scan your local computer for the viruses and kill them or any external media which you connect through your pc.
but firewall is use in terms of netwoking think that you are in network .
in your office several computers are connected in a network and sombody want to access your computer through network without your permission firewall blocks it you can turn on or turn off the firewall..
But still their are many tools which can bypass throgh firewall and access the other's computer.
their are mainly tw types of firewall hardware and software hardware firewalls are more secure then software firewalls.
windows has included firewall windowes firewll which you can find in start-control panel-security-firewall.