It would help greatly if you could answer a few questions.
Such as what, if any, security software was previously installed?
What operating system and service pack is this? Right-click My Computer (XP), Computer (Vista/Windows 7) and go to Properties - that should tell you the latter info.
Is this a new installation of McAfee from a retail purchase or is the software provided by your ISP or computer maker?
Had you previously had any similar strange behaviour?