Did you ever get the problem fixed? I can tell you right now it's not AVG.

Still not fixed

I can play Steam games normaly, but I can't join servers from the Steam interface, I need to start the game first and than join.

Steam has always had an issue with servers, mostly in keeping them "memorized". Like, you'd favorite a server in CSS and shut down Steam, then open it the next day and all your favorites would be gone.
I've been using Steam since it first came out, but your problem is new to me unfortunately. :\ At least you can still play by starting the game first. :P
I vaguely remember that there's two files Steam uses that act sort of like cookies in a web browser. If you delete those, Steam will redownload them and supposedly fix various problems. Don't know if that will work in your case though.

Oh wait, here we go. Three files actually:
* Steam.dll
* SteamUI.dll
* ClientRegistry.Blob

Good luck :3

Ah thanks, I remember that does fix some problems.

But I also remember now that I have weird freezing problems in non-Steam games that happend the same time I started geting the Steam problems....

Thank you very much for that info though :D

Hope it helps. I don't know anything about running non-Valve games in Steam though. :\
Also try setting your games to "Do not keep up to date" in their properties, wait a minute, then set them back to "always keep up to date". This helps updates make it through.