Upgrading other programs-lockout

I'm trying to download an upgrade to my business program but keep getting a message that my security settings won't allow me.
I have turned off AVG (full membership) but firewall stays on.
I am not running any other virus protection.
After temporarily shutting off AVG and opening download link in a seperate page AVG still pops up the same message about settings blocking it.  
If AVG is disabled then the message must be coming via firewall.  If I turn off the firewall it also disconnects internet connection.
Can users please tell me what to do to allow upgrades through please?