Try Alt-F2. This will open a window where you can type commands and type avg
and press enter. I am not sure if this will work as i do not use any AV and
therefore don't have AVG installed. It will work for any programme provided
you know the command. I am guessing that the command is avg. You can also do
this from a terminal. If the programme does not launch try this route.

BTW, commandline programmes never show in the menu. If it has a GUI it
usually does (but not always where you suspect). If it is a graphical
programme and avg command works then you can edit the menu by right clicking
on the menu button and choose Edit Menu. Add the programme where you want it
and use the avg command and choose an icon from the list.

Another possibility is that you installed to your home folder and not the
root file system or merely uncompressed the file and did not actually
install it. in this case you will have to navigate to the binary file and
launch it. You may have to make it executable by changing the permissions.
You do this by right clicking on the file and choosing Properties, then
clicking on the permissions tab. check in the execute box.