JAVA is a protocol that is being used in computers more and more as time goes on, not just for Bluetooth.
Most internet graphics uses JAVA and will give you an error if you are not using the latest version. I'm not sure why AVG should be giving a warning of this sort unless you have just installed it and the install has not finished correctly. Are you getting a grey bar across your screen, near the top, saying some content has been blocked? Try clicking on it to unblock the programme, as nilly71 says, it's probably trying to update itself.