I notice this happening to me in OE as well when running AVG. By Default AVG likes to put that little message at the bottom of your emails so show that is passed a virus scan. When it does that it is "attaching" it to your message and there for addes the little paper clip.
If you really want it to go a way then you can stop it. Open up AVG and go to the email scanner. When the window opens up click on the configure button on the plug in tab. In the Email scanning option you will find check marks where you can turn off scanning for incomming and out going emails. If you remove the check marks for "Certify Mail" then it will no longer add the little message that the email passed the virus scan and there for not add the attachement to all of your emails.
