Have you read the links posted by AdrianH? You need to install the package mentioned there. Generally, avast's installation would also install it for you if it is missing in your system. For some reason, it didn't happen.
About MSE and AVG (or whatever other antivirus), you shouldn't use 2 resident antivirus tools simultaneously, as they conflict between each other. That's why, to solve conflicts, you need to uninstall the others, and remove their remnants.
About Vista, do you have SP1 and SP2 installed? Check it at Control Panel -> System and Maintenance -> System. Also check there that you have Windows already validated / activated. Any other Windows Updates available for your system? Check for them and apply them (and then reboot and re-check for more).
About new games, first you should have your antivirus installed and working. That's the main topic here. If you have avast installed and working, then we can move on to solve some connection problem, or firewall rules, or whatever else. Or maybe we have some misunderstanding here?