I too had the same scenario. I eventually went to DELL & they walked me through getting 'AD WARE' software. In my case; I waited longer than you did, I had to have the ad ware installed in "safe mode".
The recommended ad ware: 'Malwarebytes' (anti-malware), 'Spybot-search & destroy', 'SUPERantispyware' free edition. All of these are free to download.
What I didn't realize; still don't quite understand, is that malware or ad-ware is different from anti virus software. I thought, as you also seem too that the virus software, AVG in your case, was all that was needed. I too was using AVG but it didn't have anything to do with the ad-warethat got on my laptop.
There is a topic running a thread on the exact malware attack you are experiencing. These people at BP are very good at solving your computer problems & I would follow their instructions but wanted to share the experience I had.
I kept getting that false anti virus page that said it was scanning the computer for viruses & said my PC was endangered. This was after I clicked on a random Google query. It even went as far to put an icon on the desktop then popped up another page wanting me to send them credit card information so I could buy their software. I too had ran across this problem 3-4 times before & did the Ctrl+Alt+Delete also. I thought I had gotten that malware off but then eventually it got a hold via some Trojan & I was sunk. I went with Dell's technical support but have found the support of this site more than adequate & you'll learn by following their steps.
Again, good move in shutting down your computer & deleting that malware off but it will be back if you don't get the aforementioned malware properly installed. believe me, you do not want to find that out the hard way. Good luck
Edited by mixpix, 25 August 2010 - 02:12 PM.