You should choose only one antivirus program to use. You can uninstall MSE and use AVG. My personal recommendation is vice versa, but that is your choice.
If you uninstall MSE, AVG will not detect it.
Please read this quote from quietman7, if you have not already:
IMPORTANT NOTE: Using more than one anti-virus program is not advisable. Why? The primary concern with doing so is due to Windows resource management and significant conflicts that can arise especially when they are running in real-time protection mode simultaneously. Even if one of them is disabled for use as a stand-alone on demand scanner, it can affect the other and cause conflicts. Anti-virus software components insert themselves deep into the operating systems core where they install kernel mode drivers that load at boot-up regardless of whether real-time protection is enabled or not. Thus, using multiple anti-virus solutions can result in kernel mode conflicts causing system instability, catastrophic crashes, slow performance and waste vital system resources. When actively running in the background while connected to the Internet, each anti-virus may try to update their definition databases at the same time. As the programs compete for resources required to download the necessary files this often can result in sluggish system performance or unresponsive behavior.
When scanning engines are initiated, each anti-virus may interpret the activity of the other as suspicious behavior and there is a greater chance of them alerting you to a "false positive". If one finds a virus or a suspicious file and then the other also finds the same, both programs will be competing over exclusive rights on dealing with that threat. Each anti-virus may attempt to remove the offending file and quarantine it at the same time resulting in a resource management issue as to which program gets permission to act first. If one anit-virus finds and quarantines the file before the other one does, then you may encounter the problem of both wanting to scan each other's zipped or archived files and each reporting the other's quarantined contents. This can lead to a repetitive cycle of endless alerts that continually warn you that a threat has been found after it has already been neutralized.
Anti-virus scanners use virus definitions to check for malware and these can include a fragment of the virus code which may be recognized by other anti-virus programs as the virus itself. Because of this, many anti-virus vendors encrypt their definitions so that they do not trigger a false alarm when scanned by other security programs. Other vendors do not encrypt their definitions and they can trigger false alarms when detected by the resident anti-virus. Further, dual installation is not always possible because most of the newer anti-virus programs will detect the presence of another and may insist that it be removed prior to installation. If the installation does complete with another anti-virus already installed, you may encounter issues like system freezing, unresponsiveness or similar symptoms as described above while trying to use it. In some cases, one of the anti-virus programs may even get disabled by the other.
To avoid these problems, use only one anti-virus solution. Deciding which one to remove is your choice. Be aware that you may lose your subscription to that anti-virus program's virus definitions once you uninstall that software.
Microsoft and major Anti-virus vendors recommend that you install and run only one anti-virus program at a time.
You don’t need to install more than one antivirus program. In fact, running more than one antivirus program at the same time can cause conflicts and errors that make your antivirus protection less effective or not effective at all.
Should I use more than one antivirus program?
* Symantec's statement
* AVG's statement
* Bitdefender's statement
* Microsoft Security Essentials statement <- click Details