I realised right away that I had downloaded something from Yahoo Messenger accidentally (since it was the ONLY place I had been the night before where I do not go anymore). Also Yahoo Messenger turned itself on and started asking me repeatedly if I wanted to upgrade...a bit of a give-away. I had to uninstall all my Yahoo stuff, which was fine since I don't use it anymore anyway. That got rid of the pop up windows, but I thought...there might be something lurking.
Then I did a system restore, disk clean, a registry clean and finally a disk defrag and AVG ran all the way through...yay

BUT....it did not pick up anything. So I ran my Spybot program and IT found two instances of something called "Macro virus" I deleted them and everything seems fine.
While I love AVG, it obviously doesn't pick up everything. I don't think any program does. But since I knew there had to be something wrong, I was just determined to run whatever I could until I found it.
All seems okay now, thank goodness!