AVG's default behavior is to write it's log files to a subdirectory named AVGN (N= version number) somewhere under %windir%. When booting from a cd, %windir% is probably set to the “windows” or “winnt” subdir on cd, depending on which os you are running. Doesn't matter if AVG ignores the read only attribute or not, or if the cd finalized or not, until the os comes up, and the app that handles rive letter access for the cd runs (if you have such,) the cd is read only.
Check out AVG's control panel. Although I've not done so myself so I can't tell you exactly how, you may be able to configure AVG to use a subdir on your hard disk, or other writable media. Good luck.
Steve