You're going to the Adobe site for the download - http://get.adobe.com/uk/reader ?
It does say
Please note, depending on your settings, you may have to temporarily disable your antivirus software.
If you've turned off the firewall or disabled the whole McAfee suite for the download then it may be Internet Explorer that's doing the blocking. Do you get a message at the top of the screen area asking you to confirm the download?
I just checked the US download site http://get.adobe.com/reader/ and I had no problem getting the setup files to download, never had a problem in the past either. I never had to disable anything. It could have been a website glitch or do you have non-standard settings in your browser and/or SiteAdvisor or some download manager/protection software perhaps?.
Don't forget to uncheck that option you'll see that for McAfee Security Scan Plus. You already have McAfee so you don't need it.
If you were trying to download it from a 3rd party website then that could be the problem. Always download software from the maker's website unless they redirect you to a 3rd party site themselves.