@coutt
Generally whenever McAfee is installing it overrides windows firewall. However, windows firewall services will still be running in the backend. Please open McAfee and check whether the Firewall shows On or OFF. If it shows OFF please follow the steps as in the article Your McAfee software says that your computer is at risk - Firewall is off, else if it shows ON then your computer is secured.
Regards
Siva
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