Hey there! Developer here!
What's going on is that Defender's Quest depends on an external utility to drive full-screen resolution-switching, which is not normally supported in the engine we used to make the game.
So, when the game wants to switch resolutions, it calls a little free utility called ResSwitch.exe (original site here:
http://www.naughter.com/qres.html)
This is what AVG is complaining about - the game calling an external executable file. I can see why an overly-paranoid antivirus program would freak out about this, but I can assure you it's perfectly safe.
So, telling it to make an exception for Defender's Quest won't solve the problem because what it's actually going nuts about is the utility.
The utilities are located here, assuming you use the default install directory:
C:\Program Files (x86)\DefendersQuest\NativeApps\Windows\bin\
And the actual exe files are "ResSwitch.exe" and "ResList.exe"
So, possible solutions are to either manually target those exe files as exceptions in AVG, or perhaps reinstall AVG. There is one third option you can do if AVG simply refuses to behave, but it's a little bit drastic so I want to save it for the worst case scenario.