Googling for the last sentence in your post seems to lead to sites which would love you to remove AVG and to pay for something else. Although it's a different message, I'm reasonably confident that my post here is relevant to your situation:
http://www.theanswerb...y/Question995872.html
(It will certainly do no harm to follow my suggestions on that thread).
I had a nasty-looking malware popup the other day, it tried to get me to click Start to remove whatever it was - O no, I am already well covered, just shut the screen and run a scan and all was well.
Chris - when I clicked on the X (right corner of the popup), AVG instantly reported a Malware, named Win32/Kryptik.LND, and that this is a known Trojan/Backdoor, and would be quarantined in Virus Vault.