When you install avast it will mention compatibility, as the ZA Pro's Privacy function can play havoc with the web shield localhost proxy.
You should answer Yes, that disables the transparent proxy function of the Web Shield and you have to set the browser to use the web shield proxy, see below. Other than that no real issues.
If you are using ZoneAlarm Pro and Privacy Control in ZoneAlarm is set to High and if you click YES in avast compatibility dialogue box the transparent mode proxy in web shield will be turned off you have to manually configure browser to access internet. To manually configure your browser watch instructional video
For IE - broadband users: -
Tutorial - Web Shield Proxy Set-up for IEFor IE - dialup users -
Tutorial - Web Shield Proxy Set-up for IE (Dial-up)For Firefox users -
Tutorial - Web Shield Proxy Set-up for FirefoxOpera Users - Tools> Preferences> Advanced> Network> Proxy Servers, see image. E:\Images\CapturedScreenPrint\Opera-WS-Proxy-Settings.gif