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:windowsSystem32alg.exe .