Technically speaking, you may be able to actually download more than one anti-virus program. BUT is isn't advised. The entire idea of using an anti-virus program is to "prevent" viruses, Trojans and Worms from getting into your system. Therefore, the AV program must always be working in Real Time.
One good AV program should met all the needs to keep the system safe. It is contradictory to have a second AV program and doing so may cause a conflict that ultimately allows malware to access your system
AVG is a good anti-virus program. Like any program of this nature, it should be kept up to date and used to scan frequently. You should however, have more than one spyware/adware program. They do not all have the same database, so tht one may find malware, while the other may not.
Care must be taken when using spyware/adware programs however. Some run in Real Time and you should have only one of the spyware/adware programs running in Real Time. Others are more the 'find and fix' type and are mostly activated when you start the scan.
Rule of thumb: 1 anti-virus program, 1 firewall, multiple spyware/adware programs (with exception as noted)