That sounds like a normal message for the java software you most likely have. I expect it's a coincidence that it showed up after you installed AVG.

If you go to your Control Panel, click on the Java icon. There should be a tab called About. Check what version of Java you have there. Mine says "Version 1.5.0 (build 1.5.0_06-b05)". You can go to www.java.com for more information.