avg detects as a threat "steamwebhelper.exe"

It should be safe IF it's a genuine .exe.
[EDIT] Basically, if you got two of these while running Steam, it's bad. If you only have one, it's normal and safe.
Also, if you're on Windows 7, you can right click it and open location. If it's in a Steam directory, it's safe. ;)

Upload your file to an online service such as http://virustotal.com/.

But, AVG is right this time. Steam should have never aroused this paranoia by making the browser a stand alone process.

In all seriousness now, it's most likely a false positive. You can rest assured using an online scanning service as stated above.

when i add steamwebhelper.exe to exceptions, the same error appears thanks to "online shield"

Steamwebhelper is the Steam process that lets Steam connect to the internet.
Steamcommunity sites, Store and even cover art for games will not be able to connect as Steam is basically a browserskin.

Any half-decent security software should prompt you for 3(?) new processes that want to connect to 'the internet' after each and every Steam patch (fun with Steam Beta): Steam.exe, Steamwebhelper.exe and Steamerrorreporter.exe. Allow at least the first two each time.

If you're using Comodo Firewall eg. you run the risk of these processes being auto-sandboxed and will not work properly. This is not an issue with your A/V or Firewall/Sandbox software, but with Steam using different processes for their silly set-up.

ha, steam now works well without doing anything

Time to drop AVG. It lost the plot somewhere around 2010-2011.