This document from McAfee will assist you in resolving your issue. Please be sure to follow the recommendations and to also run the McAfee Stinger scan which is explained in the document.
When you have completed the suggestions and if you still experience problems you might want to consider running this free program http://www.malwarebytes.org/mbam.php by downloading and installing this on the computer and checking for the lates updates. Run the program and let it clean everything it finds and reboot the computer.
You might also want to do the same with this program as well www.superantispyware.com
If the virus will not allow you to download to your computer, try this procedure. Get a USB stick and download from a non infected computer and rename the download and installation files to something you can easily remember. The virus should not recognize the renaming of the files because you have changed the names and the virus will no longer see these as a threat thus allowing the installation to proceed.
Let us know how this works for you and good luck
Just a check it is Mcafee popping up these warnings not some fake AV program?
I ask because I found this which may apply
Trojan-BNK.Win32. keylogger gen is a dangerous infection that spreads through XP Internet Security 2010 rogue anti-spyware program. It is not a real virusand it appears only if the system is infected with xp internet security 2010
Message was edited by: Peacekeeper on 23/04/11 6:48:44 AM