Error when loading the game with AVG Anti Virus

Good day! Everyone,

I want to ask anyone here if you have ever encountered and if you have a solution to my problem. I'm a gamer type fellow who loves to play computer or MMORPG such us MU and Ragnarok,etc. Now here's the problem.

1. I have a game play called MU Online in my system for almost a year and I'm happy playing it until last week when I installed AVG into my system.
2.  I know AVG is a good Anti Virus so i downloaded it on the download section of MU Online's web page. (They say MU and AVG are compatible)
3. Whenever I started the game, it will go smoothly until a part of the game where you will be asked to input your username and password. As soon as I logged in, it will let me choose my character and load it.
4. Then, here comes the error. Sometimes, a pop up box will prompt  "Malicious website blocked" and sometimes it will stop responding and it will restart my system without notice.
5. I then tried removing AVG into my system thinking that it will let me run the game without error but no. The error remains.
6. I tried Using other Antivirus but no luck. (They say that only AVG is compatible to MU Online)

Now my question is, What should I do? I need help about this topic please. Any comments or suggestions will be greatly appreciated. Thank you guys and I hope you guys have an answer to this.

Thank you so much and have a great day to everyone here.