How to change avatar

Change it on steam. Wait here a while before it changes itself.

Alt+F4, A window'll pop up.

change your steam pic that should work...
now, how to change it in steam? go to your profile>actions>modify my profile (or something, bad english translation) then... well there...

Launch Steam. Click on "My Profile". Click on "My Profile" from the dropdown list. Click on "Edit my Profile" on the right. Scroll down about halfway and upload a picture. If you're talking about the Steamgifts avatar, it'll automatically sync with Steam after (I believe) 24 hours or so.

EDIT
Damn you people are fast

press F13 then choose from menu

You have to... oh somebody was faster...
Damn you TMNT!