I have gotten a window poppin popping up that warns of a trojan horse. It does not come from McAfee. It appears to be someone scaring you into downloading something. It gave me a long list of infections I supposedly had. I ran McAfee which found nothing.
You might have the Anti-spyware 2009 or 2010 scamware infection. It can be a pain to get rid of (but it’s doable).
Good tutorial on removing it here: http://www.2-spyware.com/remove-antivirus-2009.html
I would seriously consider switching from McAfee to Kaspersky.