They don't all detect all the malware all of the time. Which is why it's often recommended to have more than one scanner installed, some of them will include different detections on the day.
One of the limitations of blacklist scanning.
Submit the file to
http://www.virustotal.com/ for online scanning. Takes maybe 2-5 min.
And also mail the sample to virus@avast.com
it should be zipped, password protected, and a description of the malware and the password should be included in the message body.
Can you name this malware/file, please, with both names assigned (MBAM and AVG.) Thanks.
[edit] By the way, Avast actually detects quite a high nr of rogues/spyware etc. Plus rootkits. Just not this one, (yet.)]