Virus on computer won't let me install any anti-virus software

Hi all,

My bf's brother apparently downloaded the world on to our computer and now it has a virus.
When starting up the computer, it says that "mfcuc32.dll" program (the virus, I am assuming) cannot run.
We had an anti-virus software that has completely disappeared off the computer. Now when we try to get to microsoft.com, avg, norton, ANY site that might have an anti-virus software download, the webpage won't work. The way around that is to find the download off of a third party site - such as download.net. I found the 2012 free AVG on there today and downloaded it successfully. However, when installing it, it gives me the error:
Connection failed. This application requires interest connectivity - if you are using a proxy server, please specify the settings below.
My internet is connected and working - as I have several browsers up and running, and was able to successfully download AVG.

Any ideas on how to get rid of this and successfully install an anti-virus on to the computer again? Many thanks!

Oh forgot to mention - our OS is Windows XP. Thanks!

Can you try to login to Safe Mode and then try to download Malwarebytes Antimalware software and run it in the same safe mode. The Malwarebytes will generate the type of viruses it will list and then delete it by taking your permissions and then log back into normal mode and check if everything is working fine like before or not.