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I've no idea what Yahoo! Music is, or how it works. But using Google, it seems it uses incoming port 80. (If there are others, you will need to find out).
If McAfee is the cause of Yahoo! Music not working, my first action would be to open port 80 in the McAfee Firewall. (You could also, as a quick test, just disable the Firewall and see if that makes Yahoo! Music work... If it does, then you know the Firewall is the problem, and you can open the required port(s)).