Ok, seems like you're trying to do things the windows way, i.e. blocking outbound connections based which application is running. Things are not done that way on Linux. Outbound connections are open and most of us are fine with it.
The Window Firewall, the original BlackIce for Windows, and AVG as well, I believe, all fall in the category of Application Firewalls, as they base their actions with knowledge of the application holding the IP connection endpoint. IPtables is a Stateful Firewall, so named because it relies solely on the connection's state, without regard to the application at the sending or receiving end of the connection.
The Application Firewall link above actually does have some suggestions about how such things can be handled on Linux using utilities others have described. Mandatory Access Control tools such as SELinux and grsecurity can allow or deny access to resources (such as the network interface) to applications, but I don't believe they have fine-grained controls for conditional access based on IPs or ports.
None of these are as easy to use as AVG for Windows is.. (This could be the new definition of "understatement!") In fact, I would like to think I know Linux quite well, have used it as a desktop and server platform for years, have written patches for kernel modules, and can configure a solid IPtables firewall ruleset from scratch, but AppArmor and SELinux still scare me...
There's a link here describing how to mark packets based on an application's uid (user). This might be a basis for controlling permissions per app, but you're talking about a very complex IPtables ruleset. Definitely not for someone only two days into their Linux journey.