Back to the topic at hand..... As already mentioned, AVG is an antivrus program, and NOT a spyware scanner/detector so is not a replacement for Spy Bot and/or AdAware...

Personally I thin you should have at least 1x AV prog, 2 spyware scanners, and a spyware monitor, along with a firewall. Myself personally I run AVG, SpyBot, AdAware (personal SE), Windows Firewall, Zone Alarm, SpywareGuard, and PeerGuardian

AVG is antivirus. You use this to scan for threats or virus', and it also runs in the backround keeping tabs on whats going on.

SpyBot and AdAware are spyware/malware scanners. They do nothing unless you initiate them to (ie, perform a scan)

SpywareGuard is like AVG, but is for spyware/malware. It runs in the backround monitor your internet activity and blocks prevents *most* spyware, malware and data miners from installing/downloading. Usefull program.

Zone Alarm is a firewall

Windows Firewall is, err, a firewall

and PeerGuardian is an IP protector, protecting your IP, aswell as blocking other IP's form looking at you and your data. Only really nesasary(sp) if you have a port open in a router or are downloading via torrents mind....

Along with saying you should download and install all of the above, I actually reccomend you install a couple more browsers too (try Firefox and Opera) and try them out - just to see if the problem is targetting IE only. If it is, and you are using IE7, uninstall it, it should revert back to IE6, then reinstall IE7 and try that, see if the problem remains.....