Before you purchased the McAfee software was there any other antivirus software installed? If so, did you uninstall this first before installing the McAfee software? On what version of windows are you trying to install and do you know if you have "administrator rights"?
exactly what do you mean with: "I have tried going to the download documents on my computer there, and have tried to run it a number of times."? Which documents do you mean and what did you do to "run it a number of times"?
What you could do is try to uninstall the McAfee software and reinstall it. There is an uninstall tool for it in this document: How to uninstall or reinstall supported McAfee consumer products using the McAfee Consumer Products Removal tool (MCPR.exe). It will also uninstall any previous version of installed McAfee software. Then go to your inline account and download/run it again.
However, before you do this you might want to check if your Windows version is up-to-date with the latest patches at: Microsoft Update. Choose the "Custom" buton and install also the "optional" software in case you have windows XP. For Windows 7 press the Windows button, All Programs and choose Windows Update.
When that is done download/install the McAfee software again.