The antivirus has an option to completly erase a folder (because virus, you know). OP is trying to erase the folder where the antivirus is installed (notice AVG antivirus and the folder's filename)
I had AVG, had nothing but problems, removed it and installed Microsoft Security Essentials, it was free, and It works like a ******* beast! I haven't had a single problem with it, and it's protected me from and found more viruses than AVG ever did, it isn't intrusive and it allows you get on with what you are doing without butting in like AV- "Holy **** is that virus!? Quarantine that bitch now!" - **** OFF AVG!