Starting with the October 6th 2009 virus definition update from AVG, AVG has started to flag the Firefox setup installer as being infected with the Downloader.Banload.APJF trojan.
AVG will not let you ignore this warning so you will not be able to run the installer until they correct their virus definitions.
This is a false positive and AVG has released updates to address this.
Update AVG with the latest updates. You must be running at least:
AVG Version: 8.5.421
Anti Virus Database: 270.14.5/2419