Reading through the topic again I’m a little confused in what it is you are trying to achieve.

You say that rules you make for applications to connect to the internet aren’t working because of the web shield proxy effectively tunnelling through the rule. Yet you are trying to get avast’s web shield to scan AdFender’s content/traffic.

So what program is it you are trying to block with the firewall rule ?
As surely it wouldn’t be Adfender as you want avast to scan its content/traffic.

The win7 firewall doesn’t have outbound protection enabled by default and if enabled the rules have to be manually created by the user and this isn’t very user friendly. You could try the - Vista & Windows 7 Firewall Control, http://www.sphinx-soft.com/Vista/index.html and this, http://www.sphinx-soft.com/Vista/faq.html. Which is meant to be more user friendly.