Here's the link:

It would be nice to know a little more about that computer... Which operating system? 32 bit? 64 bit? Do other browsers like Firefox have the same issue?

In the meantime, make sure that you have all other firewalls uninstalled and the Windows firewall turned off in the Control Panel.

In addition, add Internet Explorer 7 to those programs which are allowed full access to the internet.

Also, recognize that there are newer versions of your product that need to be installed using their online site. Assuming you've purchased the standard retail version, the updated version.. See the links below:

Unable to connect to the Internet when McAfee Personal Firewall is enabled

How to uninstall or reinstall supported McAfee consumer products using the McAfee Consumer Products Removal tool (MCPR.exe)

Hope this helps.