Please confirm whether you are referring to McAfee personal Firewall or Windows Firewall (Check this by opening McAfee GUI and click Web Email Protection tile).
Open Run dialogue by pressing WIN + R
Type services.msc > Hit OK
In Services Window Scroll down to see If you are able to locate Base Filter Engine Service and Windows Firewall Service
Check if these two services are Started and set to Automatic
This is to ensure current status of Firewall installed on your PC. Post back the results to proceed further.