It's running and checked on mine. MSCONFIG sometimes shows old services that no longer exist. That said, you shouldn't be having all these problems. As I believe Tony said in another thread, either try uninstalling, running MCPR, rebooting and reinstalling from the online account, or call Technical Support, it's free of charge after all. See the link under Useful Links at the top of this page.
The FireWall core service needs to be started and running for the McAfee Personal Firewall to work correctly. Please confirm whether you are using McAfee Personal Firewall or the Windows Firewall as your Default Firewall service.
It is odd that McAfee / Windows has pending updates - to get more information post back the Operating System details and the version of Internet Explorer regardless of usage.