When I scan with AVG it always start with the following: (with a blue color i depicted)
File Result/ Path
infection

kernel32.dll change C:\Windows\system32\
kernel32.dll
shell32.dll change C:\Windows\system32\
shell32.dll
ntoskrnl.exe change C:\Windows\system32\
ntoskrnl.exe
hosts change C:\Windows\system32\
drivers\etc\hosts

What does this mean? Should I be concerned? The scan shows 0 infections.

Hi chukeej,

Some files get changed as Windows runs, particularly when Windows updates have been applied. This is normal - it's just AVG reporting the fact. Another common one is reporting a change to the MBR (Master Boot Record).

Open AVG and go to the Test Centre. Hit the F3 key (or go to Tests, Scan System Areas if F3 doesn't work) and accept these changes. You should not see them on the next scan.

Those files should not change during normal operation. Some could change after an update, the .dlls and the .exe, but not the hosts file.

I would suggest the Malware Removal and Prevention procedure:
http://wiki.castlecops.com/Malware_Removal_and_Prevention:_Introduction