You are trying to help a friend download and install AVG antivirus software. They are not very computer literate and you are to some degree. They click an AVG download link and checks "Run" and then gets a window that opens asking him for proxy server information.
You are stuck as what to do. They can surf the web and get their web based e-mail without any trouble. Also, they can download and open attachments to their web mail.
Unfortunately, you are not at his computer and trying to help them from long distance. They are running Microsoft Windows Vista 32 bit version with ATT.net webmail. Your friend can try to download AVG free full version.
Have them select "Save File" to their desktop instead of "Run". Have them download that full version of AVG Free Anti-Virus. That full version download is an offline installer.