The software should, assuming you were connected to the Internet when you installed it, have configured itself automatically for all necessary services, including the internet.
Double-click the taskbar or desktop icon to open McAfee SecurityCenter, Dismiss any popups and click Web and Email Protection, then Firewall, then Internet Connections for Programs, locate the programs or app and then click Edit to alter settings.
Not sure where you are seeing "check" other than perhaps in Windows Action Center?
If McAfee is green and not showing warnings then all is well.
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I can't speak for how 3rd party tools would work alongside it.
I'm in the Ports and Systems Settings screen in the Firewall. Sometimes people wish to block extra ports/services such as Telnet, SNMP etc. Are these non-essential services blocked by default?
I noticed that I could access the Internet whether the checkbox next to HTTP was checked or not. I find this confusing.
You shouldn't need to configure anything under normal conditions. You don't need to set anything to access the internet, those extra ports would cause a popup request anyway if you tried to use them it's up to the individual needs of the user I guess.
I have no idea regarding that HTTP setting but isn't that pertaining to a Web Server? Hopefully someone with more technical knowledge will spot this.