Most antiviruses/antimalware programs allow the user to add exceptions to sites and downloads through the antivirus's settings themselves. Check through there, and maybe even lower the protection a bit (this is all up to Foxtooth though, since this will lower her real protection against malicious programs) until you can get the game running without interuptions. I don't use the prgram myself, however this link may be of help: [link] (http://www.avg.com/us-en/faq.num-5187)
Will allowing it past the firewall allow it to get past AVG?
Try using the link I supplied above to add an exception to the program to begin. If it still cannot get through, add a firewall exception; take a look at Cruel_Fears's links.