A properly installed McAfee SecurityCenter should automatically switch off Windows Firewall. I don't know which operating system and service pack this is so I'll have to talk in general terms but try going to Start/Run and enter services.msc and click OK.
In Services scroll down and make sure that the Windows Firewall Service is Started and Automatic. Adjust if necessary. (Important for the running of any firewall).
There are a number of reasons why the Firewall may not be cooperating.
1. Competing software - make sure you only have one brand of antivirus and firewall software installed.
2. Infection.....try running Stinger and Malwarebytes Free, both in that last link in my signature below. Do NOT accept the trial of MBAM or you'll end up with the wrong version.
3. Use of Registry Cleaners...are you using them? If so, see if there's a reverse or restore setting, and stop using them.
4. The installation generally has become corrupted somehow, in which case the only solution is to uninstall via Control Panel, then run MCPR (see Useful Links at the top of this page), reboot and reinstall from your online account, not from any CD you may have.
Failing the above I would contact Technical Support (Useful Links above again) - it's free by phone or online chat.