AdAway does not work when you are using a device with so called S-ON. This 'feature' exists on many HTC devices and prevents AdAway from writing the hosts file.
S-OFF means that the NAND portion of the device is unlocked and can be written to. The default setting for HTC devices is S-ON, which means that neither can you access certain areas of the system nor can you guarantee a permanent root. Furthermore, signature check for firmware images is also ensured by the S-ON flag.
Boot into the Boot Menu on your device by holding down volume down button while pressing power and the text on top will show the flag status as either S-OFF or S-ON. A full root generally means S-OFF.
More information can be found on www.addictivetips.com.
Prerequisite: You have to install a working Android SDK with ADB shell on your PC.