You didn't say WHICH version of the firewall you have installed, but on the current Personal Firewall Plus versions, I believe you can RIGHT click on the McAfee icon in the lower right corner, choose "Personal Firewall", then click on "Inbound Events". (You should also be able to choose "View Events" , then "Complete Log" if you want view them all. Various events will be displayed and you should be able to read the specific events. Although I don't use McAfee's firewall, I believe the events are actually colored differently based upon their distance from your location. Copying and pasting them in text file should save them all.

Hope this helps.