Your AVG virus scanner should have the active virus guard loaded into working memory and this should have a) picked up the virus instantly and b) allowed you to delete the offending item ASAP.
*If its an ordinary full system type scan it should have definately given you options for removal i.e. deletion or sending to quarentine folder. If that hasnt happened can I suggest you go back to the AVG settings and go through them with a fine tooth comb as it should give you the options to removal I'm sure.
**Also I use the very excellent CleanCache version 3.1 for XP to remove internet cached nasties like this. Its very quick and its kept my system clean since I installed it. (its freeware)