I moved this to Malware Discussion > Home User Assistance.
No McAfee wouldn't do that, but malware could very easily be the culprit.
I would run some extra scans. By the way as you mentioned AVG, always make sure you never have two anti-virus applications installed together as they could theoretically put you at risk.
Malwarebytes Free is fine though. Some other tools mentioned in the last link below.
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