Sometimes UAC is hindering the installation of AVG. A possible solution is to turn UAC off before installing AVG 9. You can do this by navigating to Start --> Control Panel --> User Accounts (or Start --> Control Panel --> User Accounts and Family Safety --> User Accounts). This should show your user account status. There will be a link titled Change User Account Control Settings (Windows 7). From this, you can change the setting to the bottom Never Notify. The changes will take place after you restart your computer.
Alternatively in Windows Vista, the setting can be found on the same Start --> Control Panel --> User Accounts. The left-hand navigation bar should show the option Turn User Account Control on or off. Uncheck the Use User Account Control (UAC) to help protect your computer. Restart your computer and try to install AVG again. If the installation is a success, do not forget to turn your UAC back on.
Alternatively, AVG has distributed another solution.