Not every antivirus/malware program finds everything. But if you're Windows is up-to-date and the McAfee software ten you should be fairly safe. You didn't give any details of wat software is installed... For a 2nd opinion you can always do an online scan like the one here.
If you want to check your Windows try the Microsoft Update website.
McAfee did not find anything, nor did the live one care scan. It was a DNS type bot.
My PC is not behaving oddly, so I guess I am okay. Thanks for the reply.