Is there a virus that attacks anti-virus program?

I’m asking this because I had problems with AVG 8.5 free. It removed many of Windows system files; I had to reformat PC. I thought it might be because of Vista Inspirat 1.1 (Vista theme for XP), but my friend with plain XP also had same problems with AVG 8.5 free. And, back when on fresh XP with the Vista theme, I installed the AVG and scanned the computer, no virus showed up. I keep updating it on net. Some say viruses come through these updates only for free antivirus.
Now, I have plain XP (SP 3) with XP media center theme (Energy Blue/Royal theme) that comes with Windows updates. I have purchased Net Protector 2010.

What do you think, is there or are there such viruses?