AVG is fine. It does the job. I recommend it to most of my clients if they have broadband. It's not good on dialup because it uses a schedule for updates. I prefer it over Norton or McAfee - especially on older systems - because it uses little memory and CPU time. Norton has turned into a giant 120Mb code bloated monster.
Only really good AV app in my opinion is McAfee Enterprise, but that's pricey for a home user.
The free version of AntiVir also does a good job.
NO AV app will do anything about spyware which is probably what you have. Adaware and Spybot have been off most professional IT people's radar for at least a year. Spybot doesn't detect anything anymore and Adaware sold out to the enemy.
I do this for a living. Just running a spyware scanner from regular Windows mode DOES NOT WORK. You need to do your scans in safe mode and you need to check for other things that your spyware scanner will not usually check for (malicious BHOs, compromised HOSTS file, etc).
Please refer to my detailed spyware cleaning instructions here:
http://theflyingpenguin.com/spyware-removal.shtml
Afterwards run a FULL virus scan in SAFE MODE.
There's also nothing that will protect you if you perform risky actions. Refer to the spyware tutorial here:
http://soldcentralfl.com/flyingpenguin/spyware/spyware_help.html
For people who are prone to spyware infections I recommend installing either Microsoft Anti-Spyware or Webroot SpySweeper and leaving them running in the background. HOWEVER it's up to YOU to heed the warnings of these programs.
Hope this helps...