A locked file is one which is being used by another program.
So, if you closed all your programs and ran the AVG scan again, you would probably find that it found no locked files or fewer locked files.
There are some files that are always locked (they are used by Windows itself). However, most anti-virus programs are clever enough to know about these.
For more information, see here:
http://ask-leo.com/why_cant_my_antivirus_progr am_open_certain_files.html
So the short answer is, don't delete them, because they are probably program or system files.