Hello, I just started using avast antivirus a few days ago and i need some help. Is the web shield a necessary process? I mean i know it works as a proxy, but is it absolutely necessary for it to be turned on?
Hi! Web shield is an instrument that scans your HTTP traffic wile you are surfing the Internet,if Web Shied will found some kind of malicious code on a web page, i will block it to prevent access o your PC. So if you need my IMHO then it must be work.
Take care. 
8)
It is an essential provider IMHO, as it intercepts malware before it arrives on your HDD/browser cache. Prevention is much better than cure and is easier to deal with by simply dropping the connection for that file than detecting and dealing with it once on your HDD.
[b]Web Shield - Provider Settings[/b]Web Shield provider protects your computer from viruses that may infect your computer when browsing the Internet - especially when downloading files from web pages.
If you - possibly by mistake - download an infected file and try to start it, avast! will prevent the infection thanks to its Standard Shield provider (which scans all files that you start of open). With Web Shield, however, the virus will be detected even sooner - during the download of the file. So, Web Shield makes your computer even safer than before.
This provider also makes it possible to block specific URL addresses.
Alright then, i will choose to keep it on, thanks!! 
No problem, welcome to the forums.
Stick around and browse the forums, especially the sticky topics at the top of each of the forums, not to mention the avast help file. They provide a wealth of information to help you get the best from avast.