Unfortunately this being the avast antivirus support forums, we won't know much about AVG and I don't use MSE either, so I can't be much practical help. You don't say what the file names, the locations or malware names of the detections were. No joy on the AVG forums I take it ?
However, having MSE which is also a resident AV solution that would make two resident AVs on your system, one too many. This can cause a conflict between both AVs and this can present itself on many ways.