I've used AVG for several years. I've also downloaded copies for friends; occasionally the download doesn't complete properly.
I suggest you completely delete the current version/download. If any bits are left they will conflict with a clean re-install.
When you've done that start again.
Make sure you're downloading the FREE version from click here
When asked do you want to Save or to Run choose Save. Then when the download has finished double click on the setup icon on the desktop and that will install the programme and give you the standard AVG desktop icon. You can then delete the setup icon.
And if you did it this way the previous time, delete the setup as well as the program before starting all over again.