If you just want to scan your windows machine for viruses, then you can use one of many bootable antivirus rescue ISO's. These can be used on USB's as well including the ability to update (Over Ethernet or Linux compatible Wireless Adapter)
You can use:
That's just some of many.
If you are adamant to install an antivirus on puppylinux then you need to make sure you have a persistent USB bootable image and then install one of the following: