You must have an Internet connection to install the software. What operating system and service pack is this and, regardless of which browser you use, what version of Internet Explorer is installed (McAfee uses it)?
In your network centre and/or device manager make sure that only one network is active.
Technical Support for your area is available here: http://service.mcafee.com/faq/country.html and is free of charge, should you need it.
(See Asia Pacific (APAC).
Another thing to look at is make sure all previous antivirus applications have been completely removed.