Appears as if your computer has recovered from a certain rootkit infection. (McAfee removing the trojan initially). The most probable reason why you are not able to turn on the firewalls of McAfee and Windows is that the services for these features might have been removed/deleted from your computer by the infection that had got in. From the symptoms that you decribed, I beleive you are using a 64 Bit OS.
To confirm whether this is the problem, open the run window on the computer (Windows key + R)>> You can find the Windows key to the botton left corner of the keyboard between the Ctrl and Alt keys, with the 'Flag'.
in the run window type "services.msc" <without the qoutes> and click on OK
This will take you to the list of services on the computer. Check whether you have the foll. services listed there.
1) Base Filtering Engine
2) Windows Firewall Service
if you dont find them there, this exactly is the problem.
There are a few ways to fix the problem by modifying the registry in certain ways.
Contacting Microsoft would be would be a good option. You can also try the McAfee tech support - They might be able to help as well.