Get rid of them? No, don't do that. Really, don't do that.
If you saw these entries coming up in a McAfee scan that's because the scan also checks for problems in the system registry. I don't think you've got 200K HKU entries, but you will have a lot. They're part of the registry, and your system needs them. HKU stands for HKEY_USERS. Have a look at the attached screenshot to see what sort of data they hold.
If you think your registry might need cleaning out or reorganising, the best tool to do it is probably Microsoft's own Cleanup tool, in Windows Live OneCare - I get it from http://onecare.live.com/site/en-gb/center/cleanup.htm but you might find it comes from another part of the Microsoft website if you're in the US. If you decide to use instead a registry cleaner that you see being advertised on the internet I should cross your fingers and hope it's one of the safe ones.
Use the built-in search facility of your OS to look for files whose names begin with HKU. I don't think you'll find any. As for not seeing them before, I think that's because the latest version of McAfee has changed the way it does scans. After it's finished checking programs and processes it goes into the registry and looks for any signs of changes made by malware...at least, I assume that's why it spends so long sorting through the registry entries.
Once again, don't go in and delete anything from the HKU section unless you absolutely know what you're doing, or your system will be crippled.