AVG [Free edition] should download and work fine on XP. Are you downloading and saving to your drive before installing?
Try a fresh download and when the options box comes up on-screen choose "Save to drive" then from the drop-down menu choose a location such as desktop or any folder you wish. AN e-mail will be sent to you at the same time with the serial number. Open this e-mail and copy the number ready to paste into the application window when asked for it.
After the download disconnect from the internet, click on the folder or Icon that will be in the location you have save to, this will open and then click on the "Setup" Icon.
Follow the instructions, paste in the serial number when requested to do so and the install will finish leaving an Icon on your desktop which you can delete if you wish along with the original download application.
There will be an AVG Icon in your notification area lower right of taskbar from which you can access the program by right clicking.
All the time this Icon is showing your system is being protected by AVG. Go into the settings of AVG and place a tick in the box "Allow IE5 Plug-in" this will check your incoming/outgoing mail even though you may be using IE6. j.