If AVG removes the virus, and it keeps popping back up, it has probably installed a rootkit. This lives under the OS level, and so is invisible to your anti-virus. Each time AVG removes the virus, the rootkit simply puts it back.
Grisoft (who make AVG) also have a freebie rootkit removal tool here:
http://free.grisoft.com/doc/5390/us/frt/0?prd=arw
It's also _VERY_ worthwile considering SD's tip above.