We are sorry for delayed response.
The message is related to installing AVG Secure Search features, which includes a toolbar for your browser. You can restart the computer, if the message seems not to be disappearing after the AVG Toolbar installation is obviously finished.
I have just installed AVG-2013 (OS=Win 8). A black box appears in the lower right hand corner of the screen saying "Please wait while AVG applies your security settings. Do not open any browser until the process is done."
The box will not go away, and there is no way to stop the process.