I see this question being asked in a number of different forums.
Maybe the reason why it wasn't detected is because it isn't a genuine piece of malware. Although if it is, it's just a dropper file and can be manually deleted.
From 2-spyware.com :
Trojan.Agent is not a threat in itself, it is a fake threat displayed by rogue anti-spyware programs. These programs use this and other scare tactics to get the user to buy the full version of the fake spyware removal programs.
Programs related to Trojan.Agent should not be trusted under any circumstances and should be removed upon detection.
That may perhaps be the case. I don't rate that site too highly, but the naming of this supposed malware is unconventional and I don't see it listed in the Microsoft database or uploaded to VirusTotal.
I see a number of reports that Malwarebytes fails to delete this, which I find unusual.
What version of McAfee have you got installed, btw? "McAfee Plus" isn't one of the names I recognise. Whichever it is, you should probably run Stinger and GetSusp (links are in http://www.mcafee.com/us/downloads/free-tools/index.aspx) and see if they find anything amiss.