I very much doubt that you've actually acquired AVG Anti-Virus. It's far more likely that you've accidentally installed a browser extension called either AVG Secure Search Toolbar or AVG SafeGuard Toolbar. It simply examines web links offered to you, to check on their safety. (i.e.it's NOT an anti-virus program, as such)
You don't need it. Get rid of it:
http://malwaretips.com/blogs/avg-safeguard-toolbar-removal/
(I'd omit Steps 3 & 5 from that list, which I regard as 'overkill').
However you shouldn't be using MSE either! (It failed several security tests last year and Microsoft admitted that it wasn't as good as they'd like it to be). Get rid of it and install either Avast (which I use)
http://www.avast.com/index
or Comodo
http://www.comodo.com/products/free-products.php
(Click on 'Comodo Antivirus')