Read through all first
First thing I would do is to uninstall AVG through add/remove programs and then use AVG uninstaller:
Remover to completely uninstall AVG
AVG Antivirus and Security Software - Tools download
Click the link on link above that says:
AVG Remover(32bit)
Choose Run and not Save
Once that is fully uninstalled, do the same thing for CCleaner
ccleaner (Freeware)
Download CCleaner 2.21.940 - FileHippo.com
On the right hand side, click download latest version
Choose download and the Run option, do not choose save
-Let this install to your computer
Once installed, run the program ccleaner and let it 'Fix' whatever it finds
Now that that is done, try to download something again and choose save to desktop like before and see if it that will work.
Do all that and post back, Hopefully that will address problem
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Now if this does work out, will address antivirus program after that