Hi Hans
You should be able to enable ICS (Internet Connection Sharing) from the AVG setup wizzard. I assume you already ran ICS in windows
as covered here.
However, I don't quite understand your configuration. Generally you would connect a wireless router to your ISPs modem and then configure both machines to connect via the router.
There is a beauty to having the router (wired or wireless) connected directly to the modem in that it makes for a nice hardware firewall. I used AVG for years but now just use the native Windows firewall and use Windows Security Essentials as an anti-virus.
Ron