I did have this same problem a long time ago, and I fixed it, but I don't remember how!
I think it had something to do with Macromedia Flash, and it may have been firewall related (i.e. firewall blocking the Flash applet that is used to create the avatar). But I don't remember exactly what nailed it in the end. I do remember that Bodog support were pretty useless regarding this though.
If you want to confirm whether it is a firewall problem, then you can switch it off temporarily, run Bodog, and then try and make the change. If it works then that was it. Don't forget to switch it back on straight after.