Even though you use Avast, you can still use the Windows Firewall because they do NOT conflict with each other. Are you using Avast Internet Security (Avast + their firewall)?
Also, most of us here who use Avast also use MBAM because they work well together. They work differently. So you are better off keeping MBAM on your machine and they do NOT conflict with each other.
I hope this helps you understand this better.