AVG does have a Web Shield like feature. Behavior Shield (or equivalent) was added to AVG Free in version 2011
One more note.
While I was in Arizona doing the avast! security seminars, almost every person using AVG 2011 complained that the new version
is extremely system intensive. Something they never ran into with the previous version.
These aren't my words but something I was told repeatedly since most of the folks I talked to where AVG users.
That was also my experience with AVG 2011 on 7 64bit.
Fortunately I uninstalled it just before the bad definition update.
And fortunately I wasn't online when when avast! had it's bad definition fiasco.
Everyone makes mistakes.
I'm really good at making mistakes, I've had lot of experience making them.