There is a tick box to select scan archives, when you select Local Drives an object that pops out has a slider to change the sensitivity of the scan and on that same object there is a tick box for archives.
See image, I assume you are using this skin, but it is basically the same in each.
Archive (zip, etc.) files are by their nature are inert, you need to extract the files and then you have to run them to be a threat. Long before that happens avast's Standard Shield should have scanned them and before an executable is run that is scanned.
Thorough is also by its design very thorough and perhaps a little overkill for routine use, were a Standard scan without archives should be adequate.
I have only ever done a through scan with archives once shortly after installation just to ensure a clean start state, but with XP for example avast will do a boot-time scan after installation if you select it, this I believe will be quicker and reasonably effective. Like everything in life things are a compromise.
