Hello Jill,
It would be helpful if you could provide the screenshot [http://support.avg.com/SupportArticleView?urlname=How-to-create-a-screenshot] of the AVG PC TuneUp program which is asking you to change the password. Also, sent me the screenshot of the firewall message to check and assist further.
Jill, For your info, just in case that you are unaware, you can post the screenshots here in your topic. Click on 'Answer' & then click on the 'Image' [mountain symbol] & follow the instructions.
AVG Guru