Try this from the FAQ
Perform the following procedure:
* run AVG Control Center
* mark the Update Manager component -> Settings (button in the bottom of AVG Control Center or an item in context menu (right-click by the mouse)
* if you are using a Proxy server, set appropriate values on the proxy tab
* if you are using a dial-up, set it on the Dial-Up tab
* check your firewall settings, the avginet.exe application from AVG Free program folder must be allowed to connect itself to the internet.