Many folk have reportedly had problems with this.
Try
the removal tool. (Probably the first download on the page.)
You may also need to reset the security centre, if it is still reporting AVG present, following the running of the tool, and a reboot.
How To:
1. Go to control panel and open Administrative tools.
2. Click on services.
3. Go down to Windows Management Instrumentation.
4. Stop this service. Stop Security Center service too.
Set them to Automatically start.
5. Exit out of this area, to your desktop.
6. Right click Start, and choose Explore.
7. Go to c : \windows\system32\wbem\repository.
Delete this subdirectory ONLY.
Leave the others there.
8. Exit back to your desktop and reboot your computer (you might need to boot twice).
This will rebuild the deleted folder, and the database.
Once restarted, Windows Security Center should show the correct info.
Antivirus, and firewall, should now be recognized.
Edited for inadvertent smiley removal.