McAfee SIEM is not capable of doing what you want. However, SIEM will integrate with the McAfee ecosystem solutions that provide the capability you are trying to achieve.
What you are looking for is a combination of:
McAfee "Sandbox" - aka Advance Threat Defense and a capturing technology like the McAfee Network Security Platform or their Web Gateway (in case you want to capture only web traffic).
Look at McAfee ATD and TIE.
There are a couple of upcoming webinars on brightalk you can subsribe for.