Note that I have had the game installed for some time and never had a problem before. This threat popped up after I clicked "Play NS2" in steam.
I have to assume that this is a false positive but I just wanted to give you guys the heads up. I am sure any first time players might be a little more weary of such a warning so you might want to look into why this might be happening.
Screenshot of AVG warning: http://i.imgur.com/jtzur.jpg
I will allow it for now and update this thread if it happens again.