Well, you have to be aware of the difference between firewall program and antivirus program. avast! is not firewall. You need to install some good software firewall if you wanna be protected on that field too.
Even avast! 4.1 is well recognised in SP2 built in firewall, so no problems with avast! at all... doesn't matter if you run 4.1 or 4.5 version.
Post exact screenshot of the notification message you get on Windows startup. It will be much easier to locate your problem, but from this point, it already looks like you don't have forewall installed and SP2 alarms you. At least, enable SP2 built in firewall... any protection is better than nothing.
If you are interested, you have some very good freeware firewalls out there... something like Sygate, Outpost, ZoneAlarm etc...
You don't need mail protection Wizard because you stated that you are using Windows XP. Under Windows XP mail protection in avast! is totaly automated... no action from users required at all...
In case you need to see that wizard, go in your avast4 subfolder and search for ashPopWz.exe. That's the Mail Protection Wizard