AVG and Avast are anti-viral software. Zonealarm and Comodo are firewalls, which is what I presumed you were after...
Just installed Avast... is that all I have to do? Do I need to do anything to set it up or is my computer now protected?
I have avast installed and find it does its job. It runs without me noticing until it pops up a message alerting me to updates etc. I am no expert though, but it is all free.