IE should check any download with Smartscreen Filter if you've got it enabled (and you should). Firefox checks all downloads for viruses. Google will warn you if a download is suspect. You don't say where the warning is coming from but I assume you mean it's a Mcafee warning not a browser warning?
Get a second opinion - go to https://www.virustotal.com/#url and enter the URL where the file is coming from. See what it says.