It indeed sounds as if you enabled the "Silent mode" in Web Shield.
Disabling it, however, won't help you much - the download will not be blocked silently and you will see a "Virus found!" dialog, but you still won't be able to download the file it WebShield is active.
Regarding saving the file to desktop (or elsewhere), it's the Standard Shield detecting the infected files being written to disk.
If you often deal with viruses, you may create one folder on your disk and put it into the list of Standard Shield exclusions - but
1. it's dangerous, because you may activate the file by mistake
2. if your browser performs some speculative download (getting the file before you tell it the exact location to store it), or if it downloads the files somewhere else first (cache), you'll get the warning anyway.
Simply said, avast! resident protection doesn't like when you deal with viruses.