Are talking about on-demand or on-access?

If on-demand, you just need to turn on archive scanning.
If on-access, yes, avast by default doesn’t look for viruses in packed files. However, it can be enabled. Look at the deftasks.xml file in the avast folder - all you need to do to enable scanning of archives on-access is to add the line

EXE;ZIP;MIME;RAR;ARJ;TAR;GZ

after the line
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If you’re using avast 4 Professional, the same thing can be done in a more convenient way by editing the resident task.

Vlk