I did the install with ZA off, so as to give the Avast orogram full access.
The problem could not be at installing but at updating it after boot...
C:\Program Files\Alwil Software\Avast4\Setup\avast.setup file must be allowed to connect in order to update.
Other programs that should be allowed to connect:
C:\Program Files\Alwil Software\Avast4\ashWebSv.exe (avast! Web Scanner)
C:\Program Files\Alwil Software\Avast4\ashMaiSv.exe (avast! e-Mail Scanner Service)
Don't need rights to connect:
C:\Program Files\Alwil Software\Avast4\ashServ.exe (avast! antivirus service)
C:\Program Files\Alwil Software\Avast4\ashUpdSv.exe (avast! Update Service)