En Inglés esto es lo que he encontrado. Te lo traduzco más o menos resumido.
Es necesario instalar el plugin durante el proceso de instalación de AVG. Este plugin dependerá del cliente de correo, en tu caso Outlook Express. Para este último caso hay que instalar el "Personal E-mail Scanner Service"
Quizás tengas un problema con la versión de AVG que tienes instalada que no soporta el escaneo para correo de Outlook Express.
En esta página
http://www.grisoft.com/la-es.faq.num-900#faq_900Están diferentes versiones de AVG. Prueba a ver cual soporta tiene este plugin y soporta el escaneo en Outlook Express
AVG Anti-Virus 8.0
AVG Internet Security 8.0
AVG Anti-Virus plus Firewall 8.0
Procura desinstalar el AVG que tienes instalado antes de instalar estas versiones. Si tuvieras algún problema puedes probar a restaurar el sistema. Suerte otra vez¡
901:¿Which plugin should I install to scan e-mails? It's important to choose the correct e-mail plug-in to install during the AVG installation process. It depends on your e-mail client. If you use an email client for sending/receiving e-mails which has its own plug-in available in AVG, please install this specialized plug-in in preference:
AVG MS Outlook Extension if you use Microsoft Outlook.
AVG Plugin For The BAT! for The BAT! e-mail client.
If you use any other program (Outlook Express, Incredimail, Mozilla etc.), please install the Personal E-mail Scanner service.
The installation of e-mail plugins should be done following way:
Download the proper installation file:
AVG Anti-Virus 8.0
AVG Internet Security 8.0
AVG Anti-Virus plus Firewall 8.0
Click on the Download AVG now (paid version).
When you are prompted, please do not open this file directly from the Internet, but click the Save button and choose a location, where the installation file should be stored. We recommend saving the file to the Desktop.
Locate the downloaded AVG installation file (it has a four color square icon and its name starts with AVG_...) and launch it by double-click on its icon.
Please follow the wizard and select the Add or remove components option.
In the window called E-mail scanning choose Advanced Configuration.
Then please select the needed e-mail plugin.
Finish the intallation wizard and restart your computer.