An incorrect license number has been used - you have to use the correct license number for the AVG Plus Firewall Edition.

If you have used the correct license number, please check these settings:
AVG Control Center -> View -> Components
If the AVG Firewall component is not enabled there, please click on it, then, in the window which appears, click on the General tab.  Enable the "Display component" option and disable the "Only when a faulty condition exists" option.