Hard to know where to start. Can you go to Start, Control Panel, Security Centre and tell us whether the Firewall and Virus Protection are shown as "On" ? If they are shown as on can you select the drop downs to the right of the "On" and tell us whether it says McAfee or windows protection (or whatever) for each one.
Have you installed McAfee recently or has it come as a free trial. If so have you enabled it?