It seems that your WebShield is turned off...
Is the first option, that enables the scanning turned on?
Do you use any local proxy application, like an annonimizer?
I´m in a local network (using a high speed internet access with a few other people, I think, there might be central fire wall)- is this important?- If Yes, than I´ll ask the administrator. I think its not a proxy.
In addition I use "zone alarm" firewall- but i just did make sure, that the zone alarm is in a right configuration to use avast!
My mail protection (checking incoming and outgoing e- Mails) while using opera, is working very well.