Open the Control Panel, Windows Firewall and check if there is an Exception for ashWebSv.exe the web shield. If not add one for it, file location, C:\Program Files\Alwil Software\Avast4\ashWebSv.exe
How did you remove ZA or is it just disabled ?
If you incorrectly answered the question about ZA when avast was installed the web shield may not be working in transparent mode, so you would have to manually set your browser to use it, but this shouldn't stop your browser.
General Information Zone Alarm and Web Shield:
http://www.avast.com/eng/webshield_issues.html- ZONE ALARM - AVAST Web Shield compatibility dialogue - Install/Update Question - YES or NO
If you are using ZoneAlarm Free you should click NO, because privacy features are not present in ZoneAlarm Free this will not turn off web shield transparent mode proxy.
Use a text editor and edit the avast4.ini file, the default installation location is C:\Program Files\Alwil Software\Avast4\DATA\avast4.ini (I would advise you copy avast4.ini before editing it, just in case).
Locate the line containing ZoneAlarmCompatibility= and delete that line. Save the edited avast4.ini file.
If you are using ZoneAlarm Pro and Privacy Control in ZoneAlarm is set to High and if you click YES in avast compatibility dialogue box the transparent mode proxy in web shield will be turned off you have to manually configure browser to access internet. To manually configure your browser watch instructional video
For IE - broadband users: -
Tutorial - Web Shield Proxy Set-up for IEFor IE - dialup users -
Tutorial - Web Shield Proxy Set-up for IE (Dial-up)For Firefox users -
Tutorial - Web Shield Proxy Set-up for Firefox