I had the same thing on my PC: I installed it for IE, and it just would not display the SA icon in the toobar. I went on the online chat, and the McAfee Tech told me to make sure that the option "Enable 3rd party browser extensions" is ticked. (You can find it in IE -> Extra -> Internet Options ->Advanced). Once I ticked that option, closed and re-opened IE, the SA button was there!
I moved the thread to the appropriate section where someone may spot it. Meanwhile I'll flag this for attention. Maybe my colleagues will have some ideas. There's always the Tech. Suppoort Chat linked in my signature if you want to try it. Disable pop-up blockers for it to work.
I am sure it is something to do with the configuration of my PC. One possible reason is another 3-rd party add-on - namely 'Spywareblock' (part of SpyCatcher - from Tenebril) - it could be the reason for SiteAdvisor plugin not registering with IE7. I do not have time to experiment about it - hope that my info will be useful for Mcafee developing even better products.
The other things that come to mind are...turn off IE7 anti-phishing filter (Tools) and make sure that the content advisor is disabled under Tools/Internet Options/Content. Not sure if either will help as they we mentioned in other contexts.