Further to Chris's reply: I used to recommend ZoneAlarm, and now prefer Comodo, which provides a much higher level of security. The paid for version of ZoneAlarm provides better security than the free version, but has also (like Norton) started to turn into bloat-ware that slows your system.
I've noticed that a number of other on here who previously recommended ZoneAlarm have also switched to Comodo.
Boobesque: You should never run more than one AV program simultaneously - it can cause all sorts of problems. Did it occur to you that the delay in reporting from AVG was cuase by it waiting for Norton to finish its scan and analysis.
As to your comment that the virus could have already done damage by the time AVG reported it, this is also incorrect, as the whole point of the scan is that any virus is prevented from running until the scan (and hence the report) is completed.