With help from the MBAM forum, it turns out the update problem was an IE configuration. I was able to update and scan, returning no problems. I also updated and ran another AVG scan and returned no problems. I think I'm clean! Thank you again for your help...
As for where to go from here... I plan on using the secunia program to ensure that everything I'm running is up to date. Would that program also monitor Java? I was unaware that when I updated to the new version it never removed/replaced the old one. As for controlling the cookies, the links you provided are specifically for IE, not firefox, which is what I use. Does it still apply or is there a better link for me to follow?