Binabik: Its good to use an anti-virus-prog (e.g. AVG, Kaspersky, Norton, BitDefender etc.)
AND a firewall (ZoneAlarm, Keryo etc.).
WIndows XP and vista both have an integrated firewall.
People say that this integrated firewall is causing conflicts, so it can be turned off in the security-center of the xp-control-panel.
If your conflicts with AVG continue, the program should be uninstalled completely.
You might use a registry-cleaner (e.g. RegCleaner 4.3) to erase all AVG entries within the registry
in order to make sure there will be no conflicts any longer.