When you uninstalled did you follow
Reboot and run
If no chop read this post and make sure you are not using a proxy setting in IE.
This happens when McAfee can't access the internet.
Try adjusting your internet connection as in THIS post by our technician Dinz.
That popup belongs to the 2009 product or earlier, what are you installing from? If a CD, what does the label say?
What is your operating system and service pack?
Edit: also try going to Control Panel/Network and Internet/Internet Options/Connections/Lan Settings and make sure that Proxy is not checked.
If it is uncheck it and click Apply. Close the browser and try again. (Click image to magnify)