You are posting in a place devoted to problems using these forums. Are you asking about using the home software with a proxy or using Enterprise/business products using a proxy?
The home products usually don't function behind a proxy if it's authenticated but there could be exceptions and for that you would have to contact Technical Support, it's a free phone call or online chat.
Linked under McAfee Support at the top of this page.
Also see this link.
i did some testing & research. The default urllib2.ProxyHandler of Python cannot handle proxy exceptions and therefore forwards all traffic to the proxy server. If i set up an empty ProxyHandler it works for a call to urlopen(local_address), but still fails for mcafee.client. So mcafee.client uses the default proxyhandler of urllib2, which cannot handle local destinations. Is there a way to "override" the ProxyHandler in the mcafee-module?