I moved this provisionally to Personal Firewall but may move again if it becomes about fighting malware.
Make sure you are rid of that infection by running 2 tools.
1. McAfee Stinger and read the instructions ("How to Use..." over at the right) before running: http://www.mcafee.com/us/downloads/free-tools/stinger.aspx
2. Use the FREE version of Malwarebytes and update before running: http://www.malwarebytes.org/products/malwarebytes_free (Note that this tool can be downloaded, updated and run in Safe Mode with Networking should an infection ever disable your regular desktop)
I have a page here with several such tools and hints regarding fighting malware: https://community.mcafee.com/docs/DOC-2168
As the infection may have corrupted McAfee I suggest, once you are sure you are free of malware, you uninstall McAfee via Control Panel > Programs > Uninstall a Program (Add or Remove Programs in XP),
Then run the MCPR cleanup tool listed under Useful Links at the top of this page and reboot.
Reinstall your product from your online account.
Good luck. ;-)
I had the same problem and suspected a virus. This fixed my problem:
Run the ESET rogue app remover below in the link below first and then run the ESET servicesrepair.exe found on the page in the second link. After that, reboot.
At first Mcafee kept warning that the firewall was off but then it stopped and said all was fine and that the firewall was on. When you went to the firewall settings it said it was off and if you clicked to turn it on it would blink on for a sec and then turn off again. I tried all kinds of fixes but the one above finally worked.