if you don't update the program any av scanner is useless, did you have updated definitions for avg? what do you mean by 'infected'? Trojans and spyware or viruses?
whatever you believe to be the best virus scanner, a lot of trojans can get through any av scanner, just like spyware, and not one scanner will catch everything.
Avg, avast, kapersky, nod32, all are fine, I have used tons of different scanners & like how avg can be configured to use no resources and still do periodic scans, avast is good too and does seem to detect trojans better than most but I wouldn't trust it alone, security experts do not agree on a single best scanner, but say have multiple layers of protection, keep windows updated, and don't download from sources you do not trust or open emails from sources you don't trust.....thats how you get serious malware.
having avg and adaware is good but you should still periodically update &scan with something like a squared to make sure avg doesn't miss any trojans or adaware miss any spyware.
Two huge security misconceptions are that you constantly need real time virus/spyware protection (unless you constantly surf pron and download from unreliable sources), and secondly that you need the worlds best av program (even though nobody agrees on one) and that your going to be malware free and the super duper av program will catch anything you throw at it. Which is why I laugh when I see all these posts & reviews saying 'the only security program you need', 'catches anything you throw at it' (point being you DON'T KNOW what you scanner is not catching), etc. etc.