I haven't used Avast in a while, but it sounds like what's happening is the resident scanner (guardian shield? can't recall what they call it) is inspecting everything as it's downloaded. As far as I know, there's no capability to white list a web site so that it doesn't scan data coming a particular web site. So even when you create an exception for an application in one component, the web scanner still scans everything coming through anyway.
I personally only use the AV that Microsoft offers as an optional install with Win 8 but if you don't want to use that, it may be worth trying something other than Avast that might be faster at scanning that type of download activity.
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