Technical knows exactly what he si talking about. Sygate gave all kind of problems and many avast! users already reported them... use search function in these forums. On the other hand, ZoneAlarm never ever gave me any single problem you are talking about. Also, the other one that Technical mentioned, Kerio firewall, is a way better solution than Sygate, even Outpost Freeware...
By the way, RV01, if you wanna be real protected, buy yourself a real hardware router/firewall, then you can speak about some decent level of security and protection...

@ RV01 - you wrote:
My query is the following: I don't know if I should allow avast web scanner. I have sygate personal firewall, my OS is millennium and I don't know if allowing this application I would run any risk. I am a home user .What should I do
Thanks for the help in advance 
Of course you have to give "green light" to avast! web scanner... if you wanna be protected in that field, you have to enable WEB SHILED provider. No risk at all, you can just increase your level of protection by enabling WEB SHIELD, nothing else... You also asked this:
Or is it easier and safer to change my firewall? 
What would it solve ? Nothing... every other decent firewall would ask you exactly the same question because it has to know should it let WEB SHIELD access internet or not... that's why we have firewalls installed after all, don't we ?

Cheers !