What prompted you to delete the program and which program was it suggesting you delete then ?
This isn't something I have come across with avast.
If you used IE, try downloading (save file as) it with firefox and save it to somewhere on your HDD you can find it. Or if you use a download manager try that.
The windows file system error 1006 = The volume for a file has been externally altered so that the opened file is no longer valid. So something has altered or corrupted the download.
You should uninstall AVG as it only complicates matters having a second resident AV installed.
To make sure all remnants are gone - AVG8 Remover, download tool from here,
http://www.grisoft.com/ww.download-tools there is a 32bit and 64 bit windows version, ensure you use the correct one.