In all systems the installation of an antivirus suite such as McAfee will always disable the built-in software (or in some case ask you to uninstall it), but read on.....
If this is Windows 8 or 8.1 then that is normal. WD is an antivirus in those systems and therefore would possibly clash with McAfee and actually let infection in as a result if the two were allowed to be on simultaneously.
In Vista and 7, however, it usually can be turned on as in those systems it is merely anti-malware.
In XP it is an optional extra download.