Steam is a virus? I Dont understand....?

Well I just downloaded the steam client from the steam website (the real website I am 100 percent positive) and I downloaded a game through a website that I am 100 percent positive does not give viruses (Ive had their games on my other comp for at least 3 years.).

Today I get a warning that Steam is a level 4 threat by AVG free edition (legit, downloaded through Cnet.) and that I should remove it. After removing 6 files, and 4 other items related to steam, apparently the threat is gone.

It is near impossible that it was another program that caused this virus, as I just installed a fresh copy of xp that is legitimate and wiped my disk. The only things I downloaded were Java, Flash player from adobe, and Avg free (all from their coresponding legit websites) so it is impossible that I would have a virus.

I used a similar game client, Ijji's reactor, and there have been no threats by AVG free detected at all related to its activity. I know that everyone says "steam is legit" or whatever, so idk how I could have a virus from them if they are.