gameguard

You can try to setup a Exception for Crossfire into your AVG Antivirus Program.
http://forum.z8games.com/showthread.php?t=16122
In that thread you'll find a tutorial how to setup these Exceptions.
Otherwise ensure, that Crossfire.exe, Gameguard.mon and gameguard.des files got full access through your firewall by adding these Applications into your firewall and allow traffic for them.