Hi there Genesis, welcome to RadioGeek

Righto - sounds like there is lots happening for you, so lets go through a few things first and start at the basics. I am going to ask a lot of questions here - unfortunately your problem is not straightforward or simple, and for me to give you any kind of intelligent advice I will need to know more about your machine. Lets see how we go!
First of all - don't install any new software or tools to fix your machine - many of them will only get in you trouble...
HiJackThis is a bit of an advanced system it is typically used as a diagnostic tool - and is really popular with many support/advice forums on the internet as it gives experts who can help you a real snapshot of what is happening with your computer.
Removing the exe file - I assume from your comments that you downloaded a file called "hijackthis_sfx.exe" this is simply a self extracting archive (like a zip file) which is like the delivery package for t hijackthis. To delete it, find "my computer" (on your desktop or start menu) then RIGHT-CLICK on it, select "Search" and type in "hijackthis_sfx.exe" (no quotes). This should bring up a listing of the file(s) and you can RIGHT-CLICK on them and select "Delete". Please keep in mind that you should ONLY delete the file noted, as most exe files are rather important to keeping your computer running!
For all those reading this post as well - it is important to note that AVG is STILL FREE - yes free to non-commercial home users. I have spent a bit of time talking about this one in the past - the main thing is that their marketing is getting a little more agressive and they are looking to get people to buy it by "hiding" the free version under layers of promotion about their low-cost paid alternative. You can actually keep clicking on "give it to me free" (or something like that) and eventually they let you download it.
Righto - Now that we have that done - lets start looking at your system that is on a go-slow strike!
Can you tell me a few things about your computer. We need to know:
Make/type
Age since new
Find "My Computer", RIGHT-CLICK and select "Properties" Can you also post all the information on the "General Tab" (windows version, processor, Ram etc..)
Can you please post this information (above) in this thread?
I suspect that it will be a conflict from the software running on your machine rather than a hardware fault - so next we can look at these options.
Cheers, RR