nb. According to AVG the latest version of the trainer (steam) contains trojan virus...
Open AVG and then click on "Options".
Click on "Advanced"
Click on "Exceptions"
Choose "File" and hit the browse button.
Browse to where you have the trainer located and select it.
Click "OK" then "Apply"
After you have done this you may need to restart your PC so AVG will accept the exception.
I've found it best to go ahead and make an exception for each trainer before running them, that way they never get the flag that makes you have to restart your PC to clear.