Not by name they don't but several different software versions have some sort of ad or popup-blocking included, however your browser and its add-ons is usually the place to find such things. Are you looking for consumer/retail products or Business/Enterprise ?
Does McAfee have an ad ware blocker?
Answer : No, there isn't a special adware blocker in the Consumer product. Some adware gets blocked but not all, since the adware is usually classed as a PUP (Potentially Unwanted Program). You have to find the program that's causing the unwanted advertising and get rid of it by uninstalling in the usual way. If that doesn't work there are programs (Malwarebytes, AdwCleaner) that will do the job. Just make sure to get these from the right places (not Softonic, Brothersoft, CNet for instance, as these bundle yet more PUPs with your download).