What is generating the warning ?
if you are saying it is not the firewall or AV system. Possibly you have malware/scareware generating warnings.

Otherwise are you sure you are using an official Firefox download site ? (such as http://www.mozilla.org/en-US/products/download.html)

As you mention problems with problems with various downloads it seems the problem is not specific to Firefox, the question is it a false positive, even a malicious false positive, or are you being redirected to other sites and downloading malware that is then being correctly identified.

Try using various tools / sites to run checks.

• see Troubleshoot Firefox issues caused by malware

The latest version of AVG scans for malware, so I'm assuming that this isn't the cause of the problem. It seams to have started when I started using IE8 after having problems with my original instalation of Firefox. I uninstalled Firefox with the intention of re-installing it, but now I can't install anything downloaded from the internet, although I have no problem installing programs directly from DVD's . When I do try to install them a pop message appears at the bottom of the screen saying they are infected with a virus

You will need to test with different sites/tools because they are not all capable of detecting the same things.Two objectives:

• decide: do you really have malware ?
  - use latest versions of software /tools - preferably downloaded imported recently
  remember malware may be attempting to block such downloads
• discover: what is generating this warning message
  task manager and maybe system logs may help with that
  attach a screenshot of the message someone may recognise it, (either as genuine, or an attempt to spoof a genuine message)

If you are experimenting with an install from a DVD are you able to get someone else to check and scan that DVD then if you use that DVD offline to attempt an install you have a low risk of problems, (UNLESS you already have malware that AVG is suppressing - so check any reports AVG is generating first) you could then consider disabling or uninstalling your AVG (whilst offline) to see if that is part of the problem