Can you not pick and choose what you want to install anymore?
You can still do a custom install, that would require you to download the full off-line installation file.
That said, an update from program update (Manual or Auto) should still retain what components that you have and not install others you haven't already installed. Which is what I normally do and no unwanted/requested components.
If you are basing your comment on the post above yours by 'Nunzio77' who is talking about the new firewall (for avast free), that is still a very limited release. Most want it (personally I'm in two minds to have it or not) and can't get it as it isn't widely available.