I think Mcafee needs to be asked this I know ex_brit a mod here has mcafee installs on several drives he boots to including virtual disks and I cannot see the difference in an external disk but worth asking tech support (useful links tab above)
McAfee Consumer software needs an operating system on the drive you are installing it on (I can't speak for the Enterprise products but I would assume that remains true for them also). Also the consumer version wont be much use protecting a MAC OS, you would need one of the MAC-compatible versions of the software.
Anything attached to the computer that has the OS and McAfee installed is within the protection umbrella so there shouldn't be a need to install it on an external drive in the first place.
If that drive is attached to a MAC OS then the software that is installed on the MAC OS should protect it..
McAfee All-Access Protection (multiple devices)
I should have added that if you are looking for security software that you could run from an external thumb drive to scan any computer, for instance, then there is no such thing made by McAfee any more. It used to exist when U3 software was used on flash drives but that format is now obsolete as is the McAfee software. (It was called McAfee VirusScan USB and if I recall correctly, only protected the flash drive itself).
There could be other software out there that can used in such a manner, I would do a thorough Google Search for that.