UPDATE: as of version 5 of SoftActivity Keylogger, there are no known compatibility issues with AVG security software. You may simply install SoftActivity Keylogger on your computer to monitor your kids. No additional actions required.
UPDATE: (Sept 2012) Since version 6.0 of SoftActivity Keylogger we recommend to exclude the following folder: C:\Windows\syspkgwk. This will prevent your antivirus from detecting any new threats in future in SoftActivity Keylogger files on your computer. Instructions below are for older versions of SoftActivity Keylogger.
Before downloading SKL temporary disable Resident Shield of AVG antivirus.
Step 1. Disable real-time protection
Right click on AVG tray icon and select Open AVG User Interface command (Or select AVG Free User Interface in Start menu)