When doing a scan with AVG, I get this weird thing that says shell32.dll

What does this mean? I have no idea what shell32.dll even is.

This is an essential part of Windows XP. If your AVG scan is reporting an error related to this file you should consider getting it repaired (Google shell32.dll for sourcs of help).

When you say if it's reporting an error, do you mean change?
Is change considered an error?

Take a look at this link, Amy. Changed File Alerts

I worried about the same thing awhile back, Googling brought many hits about this, but it seems it's a normal function of the program. If you want to see further discussions of it, just search for "shell32.dll change AVG" (without the quotes) or something similar. You should find lots of info
Hope this helps.

If you are getting a changed file alert, the comment given in a couple of computer forums is that the file could have been updated during a Windows Update. The change can be accepted by opening the AVG Test Centre, pressing the F3 key on your keyboard and opting to accept the changes. It would be a different matter if the message said that the file is infected.

It's a bit of a unique message if it says, 'A weird thing has happened to shell32.dll' (just joking ). Seriously though, it is helpful to say what the exact message is when stating the problem.