What is it?
Application Layer Gateway - alg.exe

What does it do?
This program provides optional utilities like the Windows Firewall and ICS. If you're not using either one of them then you should not be seeing this program run.

You CAN end this process through task manager. ICS and the Windows firewall will quit working though.

More Reading

Virus Precaution:
The alg.exe which is from Microsoft is located at c:\windows\System32\alg.exe . We've been unable to find any threats that run as alg to trick you. There are however a LOT of viruses that try their best to take this application out to open you up for other attacks.