It's AVG's firewall causing this.
- Open AVG
- On the Tools menu, click "Firewall settings."
- In the left tree menu under Profiles, expand the profile you are currently using.
- Click "System services."
- Click "Manage user system rules," and then click Add.
- In the new window, for "protocol," select "TCP"
- For "direction," select "Both ways," and then click OK.
- For "local port(s)," click "User selected ports; check a port in the list or add your own to the edit box", type "3389", then click OK.
- For "remote port(s)," enter "3389", then click OK.
- For "remote address(es)," select "All Networks," and then click OK.
- Confirm all windows by clicking OK.
This should fix it. If not- you can start by disabling the firewall component to verify this is the source of the problem- then tinker with the settings yourself to make it work. Personally I avoid AVG now anyway (too bloated) but if I do have to install it, I opt out of pretty much all the optional components- only interested in the "Resident Shield" component of AVG (it's real-time AV scanner).