From the Grisoft.com FAQ's
click here.QUOTE
If you are using proxy server for connection into the Internet, you need to modify configuration of AVG update process this way:
Launch AVG User Interface -> from top menu "Tools" select "Advanced settings" option -> in the left navigation tree select "Update" -> "Proxy"
From the combo box menu located on the right hand side of this dialog select whether you want to:
Use proxy
Try connection using proxy and if it fails, connect directly.
Manual and Automatic configuration procedures are explained at the above link, as well.