It simply can't happen. There are some possible explanations however. Your ISP perhaps is plugging it? Or you have just installed something from (for one example) Adobe and forgotten to uncheck the box that installs "McAfee Security Scan" which is merely a lightweight scan of your machine and was an optional installation with their software.
Check your Control Panel/Add or Remove Programs (XP), Programs/Uninstall a Program (Vista/Windows 7) and check what McAfee entries are there. Post what is listed.
Meanwhile you can just as quickly remove it from their using the standard uninstaller.
As a insurance run the McAfee removal tool (MCPR) listed in Useful Links at the top of this page. (Assuming it's home products)
Sorry you've been inconvenienced.