Proceed in removing Norton (you can use their removal tool). Reboot then install the new antivirus program.
You should be fine with AVG because it is one of the trustworthy antivirus vendor. Note only that it is not required to install the AVG Security Toolbar. All protection feature by AVG will run, operate even if you don't install the toolbar.
However, AntiVir by Avira (free antivirus program also) http://www.free-av.com has good track record in providing better detection that AVG. The downside is AntiVir do not have email scanner like AVG but any malware in email will be scanned if you try to save, open or click on any file (example: attachment in email is saved in desktop, AntiVir will scan it).
Currently have Norton on my windows xp laptop. Would like to remove it and replace with AVG anti-virus. Should I remove Norton first and then download AVG or reverse the procedure? I already have Webroot spysweeper so what else would I need on my computer if I went the way of AVG to provide adequate protection? thanks for your advise.