Maybe if you are using ZoneAlarm Pro and its Privacy Control set to High, you could have trouble. You have to manually configure browser to access Internet using avast! WebShield if you have Windows 98\Me. For 2k\XP\Vista it’s automatica and transparent.
To manually configure your browser see the following tutorials:
For IE and permanent connection users:
http://www.avast.com/files/tutorials/ws_ieproxy.htm
For IE and dial-up users:
http://www.avast.com/files/tutorials/ws_ieproxy_dialup.htm
For Firefox users:
http://www.avast.com/files/tutorials/ws_ffproxy.htm
Means internal, local proxy, that is automatic, transparent for the user, no need to change any configuration.