If it does not help, create a new account with administrator privileges and attempt to install again.
Make sure to run AVG remover prior to each installation attempt.
If the folder is still not present, check access permissions of folder and its subfolders: C:\Program Data\Microsoft\Windows\Start Menu\Programs\Permissions need to be Full control for Administrators and SYSTEM. Please provide us with a list of files/folders you are unable to delete due to being in use.
Should the installation still fail even with fixed permissions, provide us with new installation log files.
The installer is suggestively called AVG Anti-Virus Definitions, which deploys the updated package of virus definitions that can be loaded into the AVG Antivirus when an Internet connection is not available or the built-in definition update function fails to work.