predcon: A lot of AV programs falsely detect trainers as "Generic/Malware", and the only way to run trainers is to temporarily disable the execution shield of your AV program
Arkose: Any good antivirus program will allow you to whitelist any detected file--no matter how malicious the AV thinks it is--and it will then ignore that file for all future monitoring and scans unless the file is modified or something else tries to interact with it (in either case you can simply repeat the whitelisting). Some antivirus programs will refer to this function as adding the file to the ignore list or trusted programs or whatever, but the end result is the same. I haven't tested this with MSE myself as yet but I know this is certainly the case for Avast!, AVG and various others.
Trainers
should be flagged as malicious. They interfere with another program's active memory, which is clear evidence of malicious activity. The same goes for password-recovery tools and various other special types of programs. The vast majority of users will never be running legitimate programs that display malicious activity, and the small portion that do will know how to add such files to their personal whitelists anyway.
AVG is on CheatHappens official shitlist. I personally facilitated communication between AVG and Chris O'Rourke to get AVG to add what was then the current list of trainers to their whitelist, and it took many weeks and many different outsourced AVG operators (from anywhere between Eastern Europe and West Asia). Even then, during the next AVG program update, all those trainers went right back on the auto-quarantine list. Now it's considered "required reading" for all CH forum users and Unlimited Members to read the disclaimer about AVG, and that it's strongly recommended that users find another AV program right quick.
I used to be an advocate of AVG Pro, but when it evolved past version 6, it became more and more bloatware.
Also, I really hope you're not planning to start a flamewar over the use of trainers or other cheats in singleplayer games. This isn't the thread for that.