Is AVG associated with McAfee? I just saw McAfee on my desk top and it said it was run by AVG?

Marisa, To the best of my knowledge there's no direct association between AVG & McAfee.
Please provide AVG with more information (detailed description, screenshot (http://support.avg.com/SupportArticleView?urlname=How-to-create-a-screenshot)) so they can better understand what issue you are dealing with.
AVG Guru
.

Should I be scared or are they two in the same?

Marisa, To the best of my knowledge there's no direct association between AVG & McAfee.
Please provide AVG with more information (detailed description, screenshot (http://support.avg.com/SupportArticleView?urlname=How-to-create-a-screenshot)) so they can better understand what issue you are dealing with.
AVG Guru
.