Java should always be allowed to check for updates and that entity is Java Updater, so allow it. Many applications continue to check for updates even if they appear to be up to date. For instance McAfee SecurityCenter checks every 4 hours, silently of course.
You can always Google the name if you aren't sure what it is.
When something asks permission for an Activex installation and you trust the source, in this case McAfee, then you should allow it....it does ask permission and there should be an obvious means of allowing it.
If you don't get asked then it would appear that your browser settings are not default. They should be or else you will have no end of trouble. McAfee and other protection rely on standard browser settings.