Hi Mike,
Simply, the job of antivirus software is to physically check for malicious code and malware on your machine, it will monitor everytime a file is opened, moved, created, or deleted, and act accordingly if any content matches or looks a bit like anything in it's database of known nasties.
A firewall, is mainly tasked with monitoring network activity, and protecting your machine from malicious elements on the network or internet. It basically inspects all incoming and outgoing network traffic, and makes decisions based on rules you've set, and some best guesses on the nature of the traffic. For example, it will automatically block connection attempts on certain ports that may be commonly used by trojans and virii. A firewall cannot physically detect or stop a virus infestation on a machine, but it can prevent communication between a piece of malware and it's base, stop it phoning home if you like.
As you can see, the function of these two types of software is very closely related, however they are not one and the same, which is a common misconception. The situation isn't helped by the fact that some antivirus includes a firewall, and some firewalls include antivirus, but its not always the case, and one alone will not do the job of the other.
If you have Windows XP SP2, you already have a perfectly adequete firewall built into the networking layer of the OS. Installing something like Norton Internet Security will take over the firewall functionality and use it's own solution, disabling the Windows firewall.
If you install a standalone antivirus client such as AVG, or Avast, like Ken suggested, then you still require a firewall, so you can continue to either use the Windows one, or download and install a 3rd party one.
Hope that makes sense, its a bit of a mess I totally agree!