|Can we say, Root Kit anyone? Yes. It's possible that you have something binding to your generated exe's (or at the very least, a hidden system process which checks and binds itself to 'clean' exe files the moment one is created).|
What I would suggest is this: Try creating your exe from a virtual machine with a clean copy of windows and avg freshly installed (if you don't have vmware or can't obtain it, you can download a copy of VirtualBox which is freeware, and install it onto that.
Even if your primary system is infected, you will be able to isolate code generation virtually to see if you have the same issue that was seen on your physical machine.
If you still get the same result, then it's possible you have a false-positive from AVG as reported above. If not, I would copy off your data immediately and back up anything important you have (and I do mean everything that you don't want to lose) to an external drive, format your system, and start over with a fresh copy of windows. Use virtualbox as your virtual VB sandbox, and general program barrier to protect you from now on.
There are a LOT of things that get past AVG, Norton, Kapersky, F-PROT, and all your major virus providers and several methods to do it. I know because I used to write code like this to attack my own systems and reverse-engineer other's executables and dll's to see how things worked from virtual machines so I could stay safe. A virtual machine will keep you safe from most every virus threat (except code execution via host source attacks/hypervisor exploits).
Be certain to verify that your version of Visual Basic is clean, too. If the compiler you have for Visual Basic has been compromised, then every EXE you create will be infected with their code even if you only intended to produce an exe with your own. Stay safe. -James