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You can disable the appropriate application status in the advanced setup -> user interface. You understand that you will take all responsibility for the security of your system since ESET won't be able to 100% protect you from Internet-borne threats, phishing, etc. By disabling Web access protection you won't gain any benefit but lose one of the most important protection layers.
Even if one was very cautious and restrictive in what he or does on a machine (e.g. visits websites only with javascript disabled, checks every https certificate on visited websites, uses policies to prevent script interpreters from running, disables USB ports to prevent devices carrying data from attaching, etc.), I wouldn't recommend disabling a single protection layer.