I don't think the message is "there" but at your place. My guess is that you are using Windows XP (correct me if not) and that the group/user settings prevent you from doing things or that your system is infected with one or more viruses.
1) Run a online virus scan
http://www.ravantivirus.com/scan/2) Check group/user policy settings
btw, the key is not needed for downloading Avast, you insert it when it asks you for it.