You are at a risk, as the web shield is providing a function to block before malware gets on to your system by pre-scanning http port 80 traffic, whilst the file system shield should provide another line of defence, it may not prevent something that the web shield would.
Most commonly this is hacked web sites that redirect or try to run malicious scripts from another site. Since there is no indication what this redirection may do or what that malicious script might be (the web shield can block that attempt) and it could be that there is a piece of malware that would not be detected and that is the risk.
To alleviate that risk using a different browser and pro-active measures, something like firefox and the NoScript add-on, which greatly reduces the risk if you happen upon a hacked site. But it is always best to try and get the web shield working.
Do you use a Proxy to connect to the internet ?
- also see Cause for apparent Web Shield blocking internet connection,
http://forum.avast.com/index.php?topic=57443.0.