I have just experienced the same problem as Volans with a fresh installation off Windows Millenium on a Pentium3 computer.

I have another computer with Millenium with Avast working fine.
The problem with the P3 computer resolved itself when i install Internet Explorer 6 SP1 and I upgrade Millenium with Windows Update.

Is possible some software is missing in the original CDRom of Millenium.

I show Volans has Windows 98. Try to install IE6 SP1 and upgrade Windows 98.

I am very satisfied with Avast.