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Avg found 150 tracking cookies and on thing located on my second hard disk, a data called downlad.small.bgv, Avg gave him "high rank priority dangerous"...

Tracking cookies are common as muck almost every cookie could be considered a tracking cookie and there is no way I would consider it a “high rank priority dangerous” to my mind they over inflate the ranking of tracking cookies which I would consider low risk. AdAware also finds tracking cookies (depends on what your settings are) and they deem to call them critical, cr*p a cookie is a simple text file that contains data usually about visits to that site and that one alone.

You are best served by something like cookiesafe, a firefox extension where you can determine who is allow to set cookies, etc. There are other cookie functions which can be set like not allowing third party cookies (not from the site domain you are visiting) and other cookie tools to keep those on your system to a minimum. This is called treating the disease and not the symptom, the cookie on your system detected by avg-as or adaware.