Oo-er!
Not had that problem. I just checked, and Word and Publisher on my machine both happily imported and copy/pasted a .wmf.
I have to say, the MS clipart collection, while vast, leaves me totally underwhelmed and I get most of mine from elsewhere (ie Google).
Have you checked the file association your machine has for .wmf? Just a long shot: I can't think what else would do that, other than a damaged app somewhere.