Start, Control Panel, windows firewall (exclusions) would be a good place to start.
However, the windows firewall is better than no firewall as it doesn't provide full outbound protection, so I advise a third party firewall.
I feel that there may be something else going on besides this, did you have an AV installed before (or still have), if so what and how did you remove it ?
You may be better trying a clean re install of avast, uninstall, reboot, install, reboot.
It would probably be best to download the latest version of avast and save it to your HDD, somewhere you can find it again. Use that when you reinstall.