If you're using XP with it's firewall on as well then that might be a problem. You can turn off the XP but I'm not sure about how easy it is to configure the AVG firewall. You shouldn't run 2 firewalls together, they'll interfere with each other.

See here for info about configuring firewalls:
http://www.gnutellaforums.com/showth...threadid=51357