You can download Comodo Cleaning Essentials. It comes with a process monitoring tool called KillSwitch. Open it and it will check for malicious processes.
> MSE fails to detect some things that AVG does.
Do not have them both on the same PC. There are scanners designed just for cleaning malware, like Hitman Pro, which you can use in these situations. If antivirus failed to detect malware on real-time protection, it usually means it won't detect it on a manual scan, either.
> Looking at my Task Manager I know some processes but most I do not.
There are programs that will analyze processes and tell you whether they are safe or not (CCE, for example). But be careful, don't terminate anything if you're not 100% sure what it is.