I ran an AVG antivirus scan on my laptop. Scan result showed 14 infections, an example of which is this,
"C:\WINDOWS\system32\GUN08.EXE";"Trojan horse Generic18.BDOM";"Infected"
My question is if I select the option,"remove all unhealed infections", am I at risk of deleting program files?

Very low risk, it only finds bad stuff.