You may want to try to follow some of the suggestions in this document regarding the McAfee stinger scan and some of the others mentioned in Anti-Spyware, Malware & Hijacker Tools to give you some peace of mind.
May i first suggest you try to run the McAfee Virtual technician found at the top of this page under Useful Links in the Technical support link. MVT will scan your computer for any McAfee related issues and if it finds any it will attempt to fix them for you. If the firewall will not stay on after performing some of the suggestions above, you could contact Technical Support Chat who could remote connect into your computer to see if there are any conflicts. You would need to grant them permission to do so and they have many more tools available than we have here on the forum.
Let us know how things go for you