I think that smart people from Avast should make some supplement or addon for
Windows Firewall so it can work with Web Shield.I don't expect any help from Microsoft.
Maybe that is too complicated...I don't know.
Well they don't need to do nothing, because avast 8 free! is fully compatible with windows firewall, by default windows firewall allow all outgoing connection, so nothing incompatible here. If you turn on the outgoing protection(or you select some application to be blocked by WFw then you start to have some problem i.e. with Firefox, IE, an others, but who will block browser from internet connection). So from version 9 they will abandon the proxy as concept not because WFw can't filter localhost. So from V9 you could use again avast! free in combo with other firewall(i.e. privatefirewall, and others that currently like WFw can't filter localhost).