I got hit with this yestterday, it blocked all internet access but I was able to run a scan nonetheless. The scan did not detect this malware and I was obliged to download a trojan killer to deal with this. Shouldn't McAfee have prevent this installation, detected it, and/or removed it?
Yes it should and so should any up-to-date Windows system as Microsoft's monthly update to their Malicious Software Removal Tool (mrt.exe) has been removing it and even blocking it for years.
That said, there may be new variants out there that can fool regular antivirtus. I see Symantec has a removal tool so does McAfee - it's called Stinger which is designed for that and many other fake and real malware.
It is listed, along with some 3rd party tools that I recommend, on this page: https://community.mcafee.com/docs/DOC-2168
Make sure you are always up to date with Windows Updates using the Microsoft Updates option and keep one or two extra tools handy and updated, just in case.
Note: Stinger is a one-off tool so uninstall after use and always download a fresh copy each time you want to use it as it does not have an update function.