AOG,
regardless of if this warning is true or a hoax you should have malwarebytes on your computer anyhow, so download and install malwarebytes using squarebears links above, install it and then run it, let it do a full update and then run a full scan with it.
Once it has finished the scan reboot your computer and if you continue to get the warnings then upgrade to the latest version of AVG. do not under any circumstanses enter any payment details when upgraded, it is not needed for AVG! (and as there is still a element of suspicion about this being true AVG update)