Scanning has nothing to do with a firewall. I do recommended to get a decent firewall however. XP's build in only protects against incomming.
Now for your problem, please provide more information.
What exact version of Avast?
What vps version?
Is it really locking up or does it just look like it?
Any error(s) in Avast's log file?
Does it always 'freezes' at the same file/folder?