Perhaps this was a hidden file, although that makes it suspicious straight away. And if McAfee couldn't delete it that's also suspicious, unless this was a temporary file which was deleted by a program or process before it could be quarantined.
Go back to the folder in Explorer and select Folder Options / View / Show hidden files and folders. if it's there, try deleting it manually (you can always recover it from the Recycle Bin if you want to keep it).
It may simply be quarantined. When McAfee quarantines something it encrypts it so it's only visible in the user interface itself. Did you open SecurityCenter and then go to Navigation > Quarantined and Trusted Items and look in those sections (click them to expand)?
I've also known McAfee say it can't delete something when in fact it succeeded, although that's a rare occurrence.