Hey there Scott,
the issue is due to the h.sie patcher (which I am assuming you are using). As this injects the sh3 executable with code, it is
falsely detected as a security threat.
You can still use AVG. Just take the following steps:
Open AVG Panel
Options -> Advanced Settings
Go to 'Exceptions Tab'
Click 'Add Exception'
Select File -> Browse for sh3.exe
Tick Any Location & Any Content
Click Ok
Apply
And you are good to go
After this, apply the h.sie patcher
Hope this helps.