I just made an installation on a full updated test machine with Win7X32, windows fire wall, Microsoft AV and Calibre 0.8.41. Everything works fine on my system.
Something seams to go wrong with your installation. I can give you only some general tips.
Uninstall Calibre again and delete the Calibre program folder in c:\programs (the name of calibre folder is at default "Calibre2"). Download the actual install file from
Calibre's homepage to your desktop (after installation you can delete this file). Then launch the Calibre installer and install Calibre again with administrator-rights and follow the installation (use default location and choose your language). After installation let Calibre launches the program. You should find one book inside the clean database "Calibre Quick Start Guide" from "John Schember". If you see this file, your installation should work fine.
I do not know what firewall you are using, some firewalls ask you for rights during installation or first start of a new program. Please agree to give the requested rights for Calibre.
Hope, this will help you, good luck.