This document from McAfee should be referred to in the event you have any virus or malware issues. You may want to make sure you are up to date with all of your updates both critical updates and optional updates such as Java, Adobe, etc.
This appears to be a tracking cookie all though I am uncertain as to exactly what it is tracking, but I did not find anything that indicated it was harmful. You may need to adjust your settings as to how your computer accepts cookies and you can adjust those in your tool menu. I don't know what browser you are using but McAfee seems to work best with an updated Internet Explorer tho you may choose to use a browser such as Mozilla Firefox.
Another thought is to try running the McAfee Virtual Technician found at the top of this page under Useful Links. MVT will scan your computer for any McAfee related issues and if it finds any it will attempt to fix them for you.