Is it the windows security or AVG security that is telling you that?
If it's AVG, you should be able to click the status button to modify the setting.
If it's windows, go into the control panel-->security center-->click the link on the right side to 'change the way security center alerts me'-->uncheck the virus protection box.
That being said, I would strongly recommend dumping AVG, and picking up a better AV. There are several free AVs that provide better protection, while consuming less resources. Check out Microsoft Security Essentials, Avast, or Avira.