Keyloggers and other forms of malware exist that can record every keystroke, steal information such as passwords etc, or simply jam up your system and make it unusable. McAfee Anti-Virus & Firewall, like any reputable brand, stops millions of infections from attacking your machine. But nothing is perfect and guaranteed 100%, no matter what brand it is. Malware makers are evermore pushing out nasty stuff that works in ever-increasingly complicated ways so I always advise people to keep some extra anti-malware software handy and updated just in case. See the last link in my signature below.
To avoid infection be very careful what you download or click on and where you surf and always keep your computer totally up to date, including any parts you may not use. For instance, if you prefer one browser over another, don't forget to keep both updated as infections can creep into unpatched systems "through the back door". As this is a McAfee forum you aren't going to hear much about anything other than their products so your question is best asked on an independent anti-malware forum.