|What message does it come up with when it fails to install, and how big is the downloaded file?|
If it means anything, make sure all previous anti-virus programs are un-installed (even older releases of AVG)
Another thing to try is to make sure that you are running the progam as Administrator, under windows 7 that involves right clicking and selecting "run as administrator". This will require an administrator password (or a UAC YES/NO prompt).
Hope this helps!