Well for some reason AVG can't find the exe to add as an exception. When I browse my way to the folder it's contained in, the .exe file doesn't show, so how do I get around that?
As for the dplayx.dll file, where is that contained? I reinstalled it again just now and didn't get any message asking me to install that, just the message asking if I want to install all components including videos, to which I clicked yes.