Installation of AVG Internet Security

Need your help everyone,

I am running Windows 7 Home Premium.

 I have been trying to re-install this program, literally, for days! I had wiped out my computer and reset it to factory defaults and got all the hidden malware out of it which AVG ( internet protection had been previously installed) did not detect. Hence the reason for the reset to factory defaults.

Rumor has it that Windows 7 Updates are carrying viruses with them?

The problem:

During re-installation, a window comes up stating: "Please specify your proxy settings" asking for a server ID. The computer IS connected to the internet as all the other programs are working fine. I can't get past this window, except to cancel the download.

Anyone's assistance would certainly be appreciated !

Mike