I can't remember ever hearing of AVG causing a problem with LW. That doesn't mean it couldn't happen
. AVG's an anti virus and shouldn't be blocking ports. I tend to think it's your firewall.
See:
Firewall configuration instructions (click on link).
Most routers have an internal nat firewall in them. If it doesn't support UPnP, you'll need to port forward it. Find you router here:
PortForward.com - Free Help Setting up Your Router or Firewall
More info here:
Connection problems? Check here first!