avast! is already acting as a proxy for http, by redirecting connections and intercepting responses for port 80 (and other ports you add) via localhost port 12080, virus scanning them, and passing them to your browser transparently. A general internet proxy server might accept all internet requests (mail, ftp, https, ...) and deal with the connections to the internet for you, but avast! doesn't do that. This would usually be done in an environment where things like the virus scanners, blacklists and whitelists, user permissions, etc. for a network are located in a single server for an enterprise. And a firewall like Zone Alarm needs to know about it. Your browser should also allow you to set up proxies for the various protocols if you have somthing to service them, but avast! has already taken care of http for you.