We don't make AVG, so other than interactions between AVG and Firefox, we can't really give any advice, but AVG's knowledge base at http://free.avg.com/us-en/faq#tba6 gives some information about how to fix problems updating.

You can also find the AVG support forums from that link, which is the best place to ask questions about AVG.

OK, thanks.

AVG tell me to check my settings to make sure they are not being filtered out or blocked by a firewall. How do I do this?

Basic instructions for the most popular firewalls are here. The instructions are related to Firefox, so none will be an exact fix for AVG updates. You might be better off seeking support from a forum for your particular firewall.
http://support.mozilla.com/en-US/kb/Firewalls