ok 1st thing is to remove AVG anivirus cause it su.cks. It reporting many game files, and harmless .dll files as virus.
Second it is anoying spyware program and it can make your life harder. Especialy if you are underaged and it redirects you to porn sites or pay per click adds and it can install more spyware and adware.
3rd it is writen for IE but it works on Mozila in some variations. So if you are using IE please try to find some other more secure browser.
And last coolwebsearch is using new methods to evade detection and removal.
You can try some of the folowing programs for removal:
CWShredder and McAfee's Beta Command-Line Scanner
Dont use Windows' System Restore because it can hide in the system restore files.
PS: boot windows in safe mode and try to clean it from there.
if it doesnt work easy way is to format C: drive and reinstall
system
PPS: dont wisit harmfull sytes anymore
