I haven’t played in a while, so of course I needed to update and got this same error. I have AVG as well and adding just the .exe file to firewall exception was not enough. And to be sure it was my anti-virus, I turned off my firewall and tried and the client connected.
I had to add in the .dat file and .tmp file and voila! I’m able to connect and update.
Hope this helps this others.