Moved to Malware Discussion > Home User Assistance for better attention.
That has been on McAfee's books since 2003 so should be cleanable. Maybe it is trapped in System Restore folders so temporarily disable System Restore then try a Safe Mode scan.
Tap F8 repeatedly while booting up to reach that.
Then right-click the hard drive in My Computer (XP) or Computer (Vista/Win7) and select 'Scan'.
All you'll see is activity in the taskbar near the clock, hovering over the McAfee icon will give a progress report.
When finished reboot and see if that improves matters.
If not...try the following:
McAfee have a new tool to help fight malware & fake anti-malware pests which usually get past most antivirus applications. It's called GetSusp.
You have to go to the GetSusp Group to get the latest version and apparently they are now having a lot of success especially with all these new and prolific fake anti-malware threats.
Membership is not required. You can also find support for it in that group and provide feedback. The actual download is available
Please read this McAfee article: Required Reading - Home User Assistance, Malware Troubleshooting
If you can isolate the malware that isn't being detected you can try submitting it to McAfee Laboratories.
**You could also try scanning using the FREE version of THIS tool. Update it before running and let it remove anything it finds and reboot if it asks you to do so.