This may be the Blaster worm but that goes back to 2003, so maybe not. It could be a fake message from a fake anti-virus program.
Your problem is you can't connect to the internet because this whatever-it-is is blocking connections? Okay, one thing to try : open Task Manager (Ctrl-Alt-Del) and look for a running process with the name "defender.exe". If you see it, end the process. Then try to connect. Is the Windows Firewall switched on?
If the process is not there, or deleting it doesn't work, you can try running a couple of programs from a USB stick, but before anything else use the standard Windows tools to remove temporary files. There's a program called Cleanmgr.exe which is invoked by the Disk Cleanup option, if you can find that.
To be more precise I would need to know what the operating system is, and what version (XP, Vista, Windows 7).
When you get connected you'll need to go to Microsoft Updates and download any outstanding updates for that PC, preferably before McAfee gets installed. There may be other updates you'll need as well - if it has Flash for instance, or Java.
There's a thread here started by someone with a similar problem which contains some useful tips.