Milwaukee seems to be very expensive.
They're not cheap. You need batteries and a charger as well as the tool itself. In reality, most people buy the impact wrench for the power tool battery platform they already have (milwaukee, dewalt, makita etc etc)
Can I just buy the gun alone and use it with my Halfords set?
No - well, it would work but you really shouldn't. Impact guns should be used with special impact sockets which are hardened so they dont shatter. So you need a set of impact sockets to go with the gun!
For now though, I wouldn't worry too much about the impact gun - as others have said, its a nice to have but not essential when you're just starting things.
Or do I have to buy Halfords torque wrench 300 at about 100£ To match the set
The torque wrench is a different thing. Halfords do good torque wrenches. Any torque wrench thats the right size (3/8" or 1/2") will work OK with your halfords sockets.
The thing with torque wrenches is they have all different ranges of torque, so you might end up with 3 or 4 of them like me - for different types of jobs.
But if you get that torque meter thing in the link above (or an equivalent one - think thats a 1/2" you may need 3/8" depending on your sockets), that works across a very wide torque range and will be compatible with your halfords sockets and ratchet / breaker bars.
Hope that helps!