Could someone help me to remove those messages?
You can increase both your avast! timeout: Internet Mail provider > Customize > Advanced (tab)
and your email account timeout (generally, right click the email account, choose properties and the Advanced tab of settings).
Check if a full screen application is running before sending messages" but It doesnt work on every full screen application I use :/
That could happen due to troubles in last version.
Beta version should corrected this (4.6.726).
PS: Just a stupid question, but should I enable windows firewall wheread I already avast software (free version)? I mean is avast a firewall?
avast! is only an antivirus and not a firewall. You need Windows firewall or, better, a 3rd party one (ZoneAlarm free, for instance).