Kaspersky AV 6.0 for Workstations
Windows XP, sp2

Installed by network administrator, removed my
previous firewall.
Seems to work OK as AV and Anti-spam, but missing
a lot of standard firewall functions.

For example, how do I block internet access for a certain time period?

Alternately, I understand that it is generally discouraged
to use two firewalls at one time. Is there a firewall that
is approved to work with KAV that I can use to
block access?

Hello,

You can't block access to the Internet for a certain period time with KAV WKS. However this feature is available in the consumer product (KIS 2009), in the Parental Control protection module.

I let someone else answer to you for the third party firewall, as I don't really know.