Hi Jenny100,
You said,
Just a guess --
Maybe AVG gets some of its virus/malware or suspicious website definitions from msn?
In ZoneAlarm I had given AVG's update module permission to access the Internet whenever it needs to. So when ZA alerted me about another request from AVG to access the Internet, I checked the IP it wanted to connect to. When I found out it was somewhere on msn.com, I wondered why AVG would want to go there.
After I read your response in my email, I checked the properties for avgcmgr.exe (the module that made the request). It gives the Product name as "AVG Internet Security."
So now your "guess" makes absolute sense and I'm sure is the answer.

Thank you so much for clarifying this for me.

Jema