I haven't used AVG myself though some people on the forums recommend it. They'd know best how to configure it. Basic idea is to go to the AVG firewall exceptions rules & create a fresh one for FrostWire.

What is the specific error messages you are receiving?

If it's loading problems, see steps 5 & 6 here: Fixes for Limewire/FrostWire (click on blue link) which might be the trick to fix it. Sometimes it's only a small issue like that.