A general question, but can be answered by understanding that the bulk of the exploits will first to an inventory of your system to find if you have anything (Java, Flash, etc) that can be exploited, then will proceed to connect out and download the payload. Using the preferred settings, Comodo would rarely even let the initial exploit scout (normally a scriptor of some type)) get that far, and even if it did would prevent the payload download.
If you are interested, I will be publishing a couple of Videos shortly- one in which some very popular 2nd opinion scanners are totally oblivious to scriptors, and another in how Comodo is not.
I should also state that frequently when a person asks about exploits someone will jump in with "keep your applications patched and you won't have problems". Although very true to point, that advise really doesn't hep if either the flaw wasn't yet discovered or a patch is still unavailable.