It is a bit tricky:
1. Create a batch file (said ScanAVG.bat) in your AVG installation directory:
2. Edit the batch file:
"C:\Program Files\AVG\AVG8\avgscanx.exe" /SCAN=%1 /HEUR /ARC /PUP /CLEAN
3. In Live Messenger, Tools > Options > File Transfer
4. Check "Scan files for viruses using:"
5. Fill in the path to your batch file. (i.e. "C:\Program Files\AVG\AVG8\ScanAVG.bat")