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I use the MiKTeX and LaTeX at my university and I wanted to include my bibliography in the contents page so I found out about the \usepackage{tocbibind} bit, but when I try and compile the file, it says I need to download the package and when I try, it doesn't let me.

How can I overcome this?

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Welcome to TeX.sx! What exactly do you do when you "try" to download the package? –  doncherry Nov 21 '12 at 19:55
While technically it is not an answer to the question (why a package does not instal) this answer bibliography in table of contents offers an alternative solution to the underlying problem. –  Guido Nov 21 '12 at 20:18
Use the MiKTeX Package Manager to install this package. Start it via the start menu. –  Stefan Kottwitz Nov 21 '12 at 20:23
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up vote 2 down vote accepted

I suppose that your university does not allow you to change the installed system. So you have two possibilities:

  1. Ask the computing center of your university to install all packages, including tocbibind.
  2. Create a local texmf directory (usually you can do it in your personal user space), install tocbibind there and tell MikTeX with Refresh FNDB that there are new packages. See question create a local texmf tree in miktex for help to create a local texmf directory.
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