I'm assuming that you're actually using AVG as your anti-virus protection (otherwise you would automatically have been suspicious). However I doubt that it's actually AVG which is producing that message.
Run a full scan with AVG, to see what it finds. I'd be extremely surprised if it reports that it's found a trojan (and I'd be even more surprised if it told you that you needed to download anything).
OK, so what is it really? It sounds as if some malware has found its way onto your computer, which is trying to persuade you to either download something which really is nasty, or which you'll be asked to pay for.
Download and run the free version of Malwarebytes Anti-Malware:
http://www.malwarebytes.org/
That will probably get rid of the problem.
(It's sometimes said that you should boot into Safe Mode, by holding down F8 when you start your computer, before running that program but it usually does the job with just booting normally anyway).
Chris