OK guys, I downloaded k-mellon and I'm using it right now (not that my first impression compared to firefox is that good), but I have added k-meleon.exe to my OptinPtocess list, as I said I had Chrome still in there so I just added the k-meleon.exe.
[WebScanner]
OptinProcess=chrome.exe,k-meleon.exe
And I don't know what I did wrong, but it is working for me with the web shield scaning my browsing in k-meleon. I didn't change the proxy settings in k-meleon.
I did a change and removed chrome.exe, leaving only k-meleon.exe and that still works.
So I guess that having made the you didn't terminate the web shield and then restart it. By not doing that the web shield would still be using the old avast4.ini settings, so it won't work. If you rebooted that would have the same effect as the new avast4.ini settings would be loaded.
Let me know if doing that gets it working for you.
Signing off from k-meleon, I feel naked without my NoScript and oodles of other firefox ad-ons