It could be caused by several things but the fact that an apparent piece of malware was caught could be the main cause. I suggest downloading and running Stinger and Malwarebytes Free, both linked in my signature below, last link. With MBAM do not accept the trial otherwise you'll end up with the Pro version.
The Windows Firewall normally would automatically be turned off by McAfee's installation, but in these circumstances maybe it kicked in to protect.
Check for malware as I suggest and then run the McAfee Virtual Technician to see if it finds and fixes any problems: http://mvt.mcafee.com/
Alright I download both stinger and malwarebytes. Stinger didn't catch anything but malwarebytes did..Two of them actually
Registry Data Items Detected: 1
Files Detected: 1
When I turn on the computer it doesn't ask me but when I open up mcafee the firewall cuts off. Once I turn the firewall back on it doesn't ask me again which is a bit weird.
Thanks for the help, I will take the virtual techinican in mind and maybe take the computer in somewhere to get it checked out just in case.
Malwarebytes can also be run in Safe Mode and can even be updated and then run in Safe Mode with Networking. Another scan might be a good idea. PUM is possibly unwanted modification, see Wikipedia, so it's up to you what you do, but instead of taking it into a shop you could first try downloading Hijackthis and posting a log on one of the forums I suggest lower down in that link. That's up to you of course - but you could pick the Malwarebytes one that is listed there.
Once this is sorted out, if the Virtual Technician wont repair the software try an uninstall via Control Panel, then run MCPR, linked under Useful Links at the top of this page, reboot and reinstall from your online account.