Did you receive a firewall permission prompt to allow this program to be used?
Did you also use the MCPR removal tool found at the top of this page under Useful Links to completely remove any remaining traces of McAfee that the normal uninstall did not remove?
I don't recall receiving a firewall permission prompt. However, Tether is not listed in program permissions on my Vista machine, but it works fine. I did use MCPR to remove McAfee.
Reinstall and access the program if not warned add it to your permissions manually. See if that helps