I don't believe this error has anything to do with your firewall. Try a repair of avast. Add Remove programs, select 'avast! Anti-Virus,' click the Change/Remove button and scroll down to Repair, click next and follow. You need to be on-line to do this.
As Eddy said a (full) firewall with outbound protection would be better.
Zone Alarm free
http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. There are others, Comodo, Jetico, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions
http://www.firewallleaktester.com/tests.php. Also see
http://www.thefreecountry.com/security/firewalls.shtmlAny malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.