1) download MSE
2) disconnect from the internet
3) uninstall AVG (restarting as needed)
4) install MSE (restarting as needed)
5) connect to internet again.
6) ensure MSE has latest updates
Although I wouldn't bother with doing that myself TBH, I'd just remove AVG and install MSE straight away.
And yes, MSE will work fine alongside malwarebytes etc etc.