I don't know but Tech. Support might. If you have regular internet access through the router then McAfee should be able to connect normally as it uses whatever the browser is set to as far as I can tell.
I suggest you to connect through LAN and most probably it will fix the issue.
Please check folder C:\Windows\System32\drivers\etc and remove all other files rather than hosts, lmhosts.sam, networks, protocol and services. Then please open Hosts file in notepad and replace it with below Hosts file content. Please remove any other third security softwares like Norton, Microsoft Security Essentials,Windows LiveOneCare, etc..
# Copyright(c) 1993-2009 Microsoft Corp.
# This is asample HOSTS file used by MicrosoftTCP/IP forWindows.
# This file contains the mappings of IP addresses to host names. Each
# entry should be kept on an individual line. The IP address should
# be placed in the first column followed by the corresponding host name.
# The IP address and the host name should be separated by at least one
#Additionally, comments (such as these) may be inserted on individual
# lines or following the machine name denoted by a'#'symbol.
# For example:
# 22.214.171.124 rhino.acme.com #source server
# 126.96.36.199 x.acme.com #xclient host
# localhos tname resolution is handled within DNS itself.
# 127.0.0.1 localhost
# ::1 localhost
Please run MCPR tool.
Run McAfee preinstall tool.
Ensure that Windows is up to date.
Click Start, Search, type cmd.exe, and press ENTER.
In the Search Results window, right-click cmd.exe and select Run As Administrator.
In the command prompt window, type:
netsh int ip reset reset.log <EnterButton>
ipconfig -flushdns <EnterButton>
Close the command prompt window.
Reboot the computer
Try to install McAfee again.
I have tried the steps above with the wireless connection (Not LAN Connection as you asked). It seems the problem is Wireless connection as "Ex_Brit" firstly mentioned.
I will try with the LAN connction and update you