I'm not familiar with bullguard AV, but some AV's will give a false positive for LW. Possibly that's what's happening.
These's work well with LW:
ad-ware __(FREE)
Spybot - Search & Destroy __(FREE)
AVG Anti-Spyware 7.5__(FREE)
More info in these threads:
WARNING: Viruses on network you should be aware of!
Anti-virus protection and so on
LW doesn't contain viruses/adware/spyware, but you should always scan every file you d/load from any p2p program.