That's exactly what the PUP routine is used with. In short, files within files. Scannin those files under an .exe is not possible with AVG (or any other anti-virus that I am familiar with).
If you have the time and inclination you could always install VM and run it from within that environment. No harm or foul then.
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by: nsx106052Posted on 2009-03-06 at 12:09:30ID: 23820501
I would recommend deleting the file and trying to download it from a more secure location. You could also see if a check sum exists so you can check and see if the file was tampered with. AVG is pretty good anti-virus software, if you are being warned there is more than likely some malware embedded in the exe.