Copied from the AVG forums:
"The 'Exit' you are referring to in AVG 8.5 only terminated the icon - the program that was providing user feedback about 'what is going on', it did not terminate or suspend the antivirus protection itself. This was removed in v9 exactly for that reason - it is confusing for many users. It is generally NOT recommended to suspend or terminate AV protection while you are installing new software! That is exactly when you can get infected and AV software should always be running! By disabling it, you expose your computer to risk of infection. Having said that, you can disable the on-access scanner from the main AVG screen by clicking the "Resident Shield" component and disabling it. Again, this is not recommended"