Avast probably has it's own firewall integrated in the program. If you didn't have one, you would've probably been flooded by hackers. But I can't help you there, I don't have Avast myself. Usually you can open the program though, find something similar to firewall...and allow certain 'rules' or set 'permissions' or anything similar to that. Then you have to select hl.exe and steam.exe and set their incoming and outgoing connections to 'allowed'. Maybe that can help you a bit.