Unless you restore to a point prior to installing it no you wont lose it, but it will need updating immediately afterwards. You can do that by right clicking the taskbar icon and selecting updates.
McAfee recommends removing McAfee security products before using Microsoft System Restore, then reinstalling your McAfee product afterwards.
Uninstall McAfee products before a System Restore
Download the McAfee Consumer Product Removal tool from: http://download.mcafee.com/products/licensed/cust_support_patches/MCPR.exe
When the removal tool completes, restart your computer.
Proceed with your planned operating system restore (ensure that you also install any Microsoft Windows updates as requested by the installer).
Reinstall McAfee Security products by logging into My Account at: http://www.mcafee.com. Or from the installation disk and update them once installed.
McAfee Online Community Moderator