AVG's not a bad antivirus. Has it picked up any viruses? If not, then I wouldn't worry about it.
Windows Defender is not enough (not even close), as you have found out. I still use it, but I consider it to be little better than worthless. Don't worry, though, because here are a few free programs that can remove those cookies and can help keep new ones out.
My primary scanner. IMO, this is the best free antispyware scanner out there. It's interface isn't bloated, and the updates are still relatively compact, which is important to me, because I'm still stuck with dialup.
My backup scanner. It's gotten a bit too bloated for my taste (SE was so much better
), but I still use its scanner from time to time as a backup for SuperAntiSpyware's. There are times when it detects stuff that SuperAntiSpyware misses.
*You will only need to update these scanners with new definitions right before you use them to scan your computer, which should be about once a week. Of course you're going to want to update them and scan your computer immediately after installation as well. Don't be surprised if/when they find a ton of spyware/malware on their first scan.
Passive Protection (makes your browser(s) reject spyware cookies and other malware):
This one is well-known and has become an almost-universal standard. It has a scanner, but you won't have to use it very often. Basically, you'll only have to use the scanner when you first install Spybot-S&D and then only after major updates when it suggests it. The most important part of this software is the immunization that it gives to your browser(s).
Doesn't have a scanner, but it basically does the same thing as Spybot-S&D in providing immunization for your browser(s). I've always used both and they have never conflicted with each other.
*You should check for updates (you'll have to do it manually) for these 2 programs every 3 days to keep their immunization databases up to date. They won't block all of the spyware/malware (nothing does), so it's still a good idea to use the scanners once a week.
This should help you out a lot. Just remember to keep everything up to date and scan once a week and you'll be fine.