Hello guys I am new to gog I bought Heroes of might and magic 3 this morning and my AVG detected gogwrap.exe as a virus is this something to be worried about? if its not is there any way to stop my anti-virus from spamming me about it? Many thanks.

Original War also gets a repeated false positive warning from AVG. There should be an exclusions option within AVG to allow you to exclude files that flag as a false positive.

Thought the latest installers shouldn't have this problem, but there is a chance that your antivirus will flag it as suspicious if runned directly from the installer (Avast did for me for Flatout, but not since).
Try running the game again, and see if it does flag it again, though probably it's a false positive. If in doubt, you can use a service like virustotal to upload the file in question and see how many antiviruses flag it as a virus/malware

Its definitely a false positive. AVG (and others) have frequently flagged GOG executables as a virus, either due to a bad virus definitions or overly aggressive/stupid heuristic scans. If you are seriously concerned or have other reasons to be suspicious, definitely use Jmich's VirusTotal suggestion.