No antivirus will stop 100% of what's out there unfortunately. Try running Malwarebytes Free - the link in in the last lin of my signature below.
Don't accept the free trial offer or else you'll end up with the paid version.
You posted this on the Microsoft forums as well, I notice. No answer there, so I'll see what I can do.
This is in Chrome, so one way to block it is to go to the Get Extensions page in Settings, and select one or more of the available products. AdBlock might stop it, but a lot depends on what is triggering this fake alert.
You can also try blocking pop-ups in Chrome's Settings - see under Privacy / Content Settings. Run through all the other available options there to make sure they're exactly what you want - things like Block 3rd-party cookies, set plug-ins to be Click-To-Play not Run Automatically, stuff like that.
No need to say this in your case, but it's worth repeating for others :
DON'T CLICK ON ANY UNEXPECTED POP-UPS NO MATTER WHAT THEY ARE TELLING YOU TO DO.
There, that should confuse everyone next time McAfee delivers one of those annoying pop-ups in the bottom right saying Click Here To Do Something.
Back to the subject in hand. The game you're playing - is it a Facebook game? Or Minecraft (which I know may come from a BounceMe server)? Or something else - I see other games available via their servers mentioned in various places.
McAfee isn't detecting it because there's nothing to detect until after you've clicked. Something somewhere causes a web page to load or a pop-up window to appear - that's normal behaviour. It's the content ("Click Here!!") which is dangerous.
Edit - A slight clarification. As one of the WOT reviewers pointed out,
This is a hosting domain used to host sub-domains. All sub-domains of bounceme.net are under control of independent users and should be rated on their own merits. "
And some of those sub-domains are potentially dangerous : see