Hi, cheater87.
Oldman is right about the configuration. However, no offense to either Avast! team or oldman, personally, I found it one of the most awkward functions in Avast! How about using browser-based blocking apps such as SpywareBlaster for IE and Firefox, IE-SPYAD for IE/IE engine based browsers, Ad Hunter plug-in for Maxthon and Adblock with Filterset.G for Firefox?
If you'd like to have URL blocking function deep in your system, then, how about trying out ease-of-use Hostsman or simple Hoster?
If you feel bit overwhelmed by the info, I'd recommend SpywareBlaster, first.