[RvG]

I run an AVG Firewall but don't think that is the problem.

Just tested with the firewall turned off, same result. And don't forget that SBSnapper is running fine.
What happens with the AVG fire wall is that if a program wants to access the internet, it comes up with a window where you have to give the software permission to access the internet. It doesn't reach that stage before the error message shows up.