What operating system and service pack, if applicable, is this and are you totally up to date including parts you may not use such as Internet Explorer?
Have you been running any registry cleaners lately, if so can they restore whatever they took away?
Have you experienced any hints that malware may be present?
Try running the Virtual Technician as it may be able to fix things http://mvt.mcafee.com/
Got to Start/Run or click the Windows key + R simultaneously and type in services.msc and click OK
OK any prompts and in the list scroll down to Windows Firewall Service and check if it is Starte dand Automatic.
If it isn't double-click it and edit it to make it so, if possible.
If it isn't there, Technical Support have a fix and they are available via phone or online chat under Useful Links at the top of the page.
Insist on them escalating the case if they dither or suggest it may be a virus.
The reasons your firewalls are malfunctioning could be various, not least of all malware, for hints on that see the last link in my signature below if you suspect it could still be present..
There is a Microsoft Fixit for those with problems regarding missing or malfunctioning items in services.msc which are causing error popups.
First you will have to uninstall McAfee via Control Panel > Programs in the normal way.
Then run the MCPR cleanup tool and reboot.
Then run the Microsoft Firewall Fixit.
Then reinstall McAfee from your online account.