If your using Windows 2000/XP avast should automatically (transparently) set this up for you.
But not on Win 9x/ME.

Edit:

I am on Windows 98se, Internet Explorer 6, Avast4, Messenger 6.2 In Messenger, if I go to Tools - Options - Messages There is a box for entering the anitvirus programme to be used by Messenger. I am not very techno aware, but if I remember correctly, I had c:\programme files\Grisoft\AVGFree\exe entered in the box. I have removed that as I am no longer on AVG. Am currently having problems signing it to Messenger. As posted by Vlk do I just need to enter "ashQuick.exe"? Thanks for any help.

No, put C:\Program Files\Alwil Software\Avast4\ashQuick.exe in there

–lee