Hello Lucy,
We are aware of this firewall issue and was reported as bug. This will get resolved in next AVG update.
If you have recently installed, then you can leave this component as usual and your computer will still be protected again hacker attacks.
If you have installed AVG, few months back, then I suggest you to uninstall AVG Internet Security from your computer control panel and click on this link: http://support.avg.com/SupportArticleView?urlname=Download-and-install-AVG-Protection to install the latest version.
If you face any difficulties, please let us know and we will assist you further.