To stop it getting on to your system that is why there is only one option, but primarily to alert you to the problem. It just drops that connection and closes out the alert state.
You can elect have this run silently, Web Shield > Customize > Advanced > Silent mode, so you won't be notified, it will just drop the connection silently. However, this isn't a good idea as if there was a suspect/infected site, you wouldn't know it you browser would just keep saying the page contains no data or words to that effect and you don't know why.
The avast Web Shield won't let you download the suspect file even if you choose nothing (closing the window with the X rather than the Abort Connection), in the same way the standard shield won't let you run and infected file on your HDD.
Even if you choose No Action in the Standard Shield, that means take none of the listed actions, but it won't allow you to run the infected file no matter how many times you click no action.
