I whole scanned my laptop with AVG internet security (Fast scan) after it finished ..its says 'some threats couldn't be removed) why is that?
You have done scan with priority Fast Scan that does not scan the indepth of your system files, like it cannot scans the compressed files although the threats was detected but deep scan can recognize the threats.
What deep scan do is, it scan every compressed files and if any file have password or any authentication type it can not be scanned by the virus scanner and so you need to check with these kind of files.
If you are using a free of AVG it does not have all the features when compared to premium ones, you can compare in the AVG website.
If you have premium version of antivirus you need to update the virus definition and initiate a Deep Scan that does clears the issue and if not then you need to AVG or post your question in AVG Forums and they may provide any removal tools as you need to mention the threat name there.
Internet security is featured with a Firewall, you can enable feature that if any application is accessing the internet you will be notified by the Firewall.