Never had a single infection in over 4 years using AVG. Just gotta keep it up to date (not saying you didn't, Skyceman) and have it do a full sweep once a week as well as scan you incoming email.
RougeUnderoos: instead of opening the mail, have you tried just right-clicking it and choosing delete? Or instead of going near the email, try right-clicking on the Deleted Items folder and choosing Clear Deleted Items (or whatever the option is called). That might do it.
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