The web shield is used to scan everything that come in through the web But since avast is not capable of detecting spyware what is the use of the web shield, I am of this opinion because the greatest threat that comes from the web is spyware
Look at it the other way 'round. ;D
“The use of the Web Shield” is to provide extra protection against malware that Avast is capable of detecting - virus, trojan, worm, spyware, foistware, tupperware (hang-on that’s not right). Spyware may not be Avast’s forté but to say it’s “not capable” is an overstatement. 
LOL! Maybe we should add tupperware to the Wishlist? ;D
WebShield does protect your web traffic against malware (virus and spyware).
Just that not a software is perfect and avast could (and indeed does) miss some of it.
Do you have any ‘bad’ experience using avast? Something missdetected?
Please help me understand how these things happen…
The other day I somehow d’loaded a Trojan Horse. My Spysweeper picked it up during it’s daily sweep. If avast is able to pick up T-Horses, why didn’t it detect this one?
Is it because I’m using the free edition?
It has nothing to do with free or pro, they use the same signatures.
As has been explained avast isn’t a specialist anti-spyware application but it does detect many spyware/trojan signatures. Having a multi application/level approach to security gives a better overall protection. No one program will give 100% cover.
Anything you find with spysweeper you could confirm is a good detection (see below 1) and if so send the sample to avast, so its signatures can be improved (see below 2).
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You could also check the offending/suspect file at: VirusTotal - Multi engine on-line virus scanner I feel virustotal is the better option as it uses the windows version of avast (more packers supported) and there are currently over 30 different scanners.
Or Jotti - Multi engine on-line virus scanner if any other scanners here detect them it is less likely to be a false positive. Whichever scanner you use, you can’t do this with the file in the quarantine or avast chest, you will need to move it out. -
Send the sample to virus@avast.com zipped and password protected with password in email body and false positive/undetected malware in the subject.
Or you can also add the file to the User Files (File, Add) section of the avast chest where it can do no harm and send it from there (select the file, right click, email to Alwil Software). No need to zip and PW protect when the sample is sent from chest. A copy of the file/s will remain in the original location, so any further action you take can remove that.
As soon as Spy Sweeper was done, I deleted the T-Horse from the quarantined files. I guess I have nothing to send to you…sorry.
No problem, just remember deletion isn’t a good first option if SpySweeper has a quarantine that would be you best option, before you investigate. The last thing you want is to find it was a system file misidentified after you have deleted it.