Strange because XP's firewall doesn't have any outbound checking or protection. It does however, have exclusions you could try adding it to that. The problem with the avast.setup file is that it is only created at the time of update and is deleted after so that would be difficult to exclude in the XP firewall.
What errors are you getting for the email problem ?
Whilst the windows XP firewall is usually good at keeping your ports stealthed (hidden) it provides no outbound protection and you should consider a third party firewall.
Any 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 (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
- Zone Alarm free
http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. There are others, Comodo, Sunbelt Kerio, 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.shtml
