I don’t know the answer about whether Avast can protect against wmf exploit, but there is an interesting thread on Wilder’s Security Forum about how Kerio Firewall users (Free & Paid versions) can protect themselves using a snort rule http://www.wilderssecurity.com/showthread.php?t=113359
Better still a forum search for WMF Exploit should return the info you seek as it has been discussed in a couple of threads. This being just one of them http://forum.avast.com/index.php?topic=18295.0
Just pinched this from another website. Good on Ya Avast
Days after the revelation of a flaw in Windows' handling of WMF graphics files, dozens of exploits are being spread from thousands of adware sites. But good protection is available.
At the same time, further testing confirms that a workaround issued by third parties and endorsed by Microsoft Corp. is effective in most regards, and in the most important circumstances, but not in all. Also, the workaround has side effects that could prove troublesome.
AV-Test, which tests anti-malware products, has been tracking the situation closely and has, so far, analyzed 73 variants of malicious WMF files. Products from the following companies have identified all 73: