You've had some viruses (AVG/aimfix have picked up), and spyware (dialers at a minimum). Your AIM password has been compromised as well.
I suggest you get your system clean by using you AVG to run a FULL system scan, and also the MS antispyware, (a full scan, there's a "scan options" link below the "run scan now" button, goto more option and run a full scan). Disconnect your internet connection from the back of your computer when you run the scans (make sure AVG and MS antispyware are updated first).
After that, plug you Internet connection back in, and get that firewall software setup. And yes it will ask you stuff for a few days. During those days, just get online to normal sites and email, no porn/gambling/filesharing for a few days, until you get all setup and things are running nice & happy.
After your firewall is installed, you MUST change your AIM password, (you'll hopefully be free from malware at that point). Use a strong password (letters and numbers and symbols as well, at least 6 or 8 characters long, That will make it VERY difficult for him to crack it).