Well something was asking if you wanted to allow Avast or not. And in 99.9% of all cases it is a firewall that asks you that. Maybe you don't know it, but it seems to me you have one. And my guess is you have the windows firewall running without you knowing it.
Eddy, the Windows Firewall on SP1 did not ask for permition. I think (I could be wrong) that in SP2 it only asks for 'Inbound' connections and not 'Outbound'

Eddy and Technical,
since Eddy doesn’t know what actual program or event caused the question, coudn’t it be so that (for some reason) just a simple cookie-block in IE or where ever causes this problem? I have seen strange things under WinOS >:(