Two virus protection programs?

I installed Avast and was about to install AVG, when AVG popped up with a warning.

"It is not advisable to have more then one antivirus product running on the same computer."

I've had both of these programs installed at the same time before, but never installed Avast first. Is this message something to be concerned about and should i just stick with the one antivirus program? Or is there no reason I shouldn't be able to run both at the same time. In terms of resources for my computer, I'm set.

Two virus protection programs?anti virus scan

this is easy to do, install avg first then proceed to installing Avast, but i heard that avast do not support realtime protection.

i also recommend Avira Antivira because i have comodo firewall 3, avg free, avira antivira, spybot search and destroy and as far as catching viruses goes, avira caught 10/10 of all the viruses in my cousin's virus infested computer while avg only caught 1 out of 100 viruses. literally

avg free is my backup antivirus program