I've not had this problem (I don't use PonyProg) or had problems with Avast blocking/removing .exe files. My guess for how to prevent this, though, is to right click on the tray icon and
Open avast! user interface -> Real-time shields -> File System Shield -> Expert Settings -> Exclusions
Of course, Avast changes its interface all the time, so if we're using different versions, that might not work for you.