Windows 7 is crazy paranoid about things saving into the C:\ drive (Or whatever root you're using). If it's a regular problem, I would recommend running the game as an Administrator. I know I have to in order for log files to save correctly, though the game itself saves fine for me (As an aside, I'm using 64 Bit Windows 7 and AVG as well, and haven't had any issues).
If I remember right, it's more specifically C:\Program Files\ (and/or Program Files (x86)) that it doesn't like you doing certain things to, which royally screws up some older games but is generally not a problem with new ones that take that into account and store stuff in your user folder like they're supposed to. I never run into that problem anyway, though, because my massive Steam folder doesn't fit on my OS partition, so it's on E, and all my other games are there with it for consistency.
Also, I haven't really looked into it in the past year or so, but the general consensus that I remember was that AVG pretty much stopped being any good around when 8.0 came out. avast! and Avira were supposed to be decent for a while, and they may even still be, but I've been rather pleasantly surprised by MSE and have just been using that these days when I need to install something for someone.