Now this is a new one I just tested my PC and it closes the box no problem.
What is your version of Mcafee? Also what operation system and service pack number?
Of course you can go into the real time scanning settings and choose the scan automatically or let real time scanning scan the files as you use them that should stop the popup.
This would be a work around but not fix the cause and best to find out why this happening so.....
I would assume that a reinstall after a clean uninstall should fix this but in case this a new issue best to call support and ask them.
You could try the Mcafee virtual Technician on the above link before you call and note the session ID number it shows. It might detect a registry key error and fix it.
could you tell me the version of Internet Explorer and the OS version.
Try downgrading the IE version to 9 and check if it resolves the issue.