Fry is playing a character who's actually -smarter- than Holmes? (not familiar with the mythos, sorry)
Yes, Mycroft is even more brilliant than his younger brother, but he's far too sedentary to be bothered with going out and solving crimes; he basically spends his entire life in his home and his social club, and the commute between them is pretty much the only movement he engages in. However, heads of state and other important personages come to him for advice.
http://en.wikipedia.org/wiki/Mycroft_Holmes
Although in film and TV adaptations, he tends to be more active. In the Granada Sherlock Holmes series, due to actor availability issues, there was, IIRC, one episode where Mycroft substituted for Watson and one where he subbed for Holmes.