There are a few known compatibility problems between McAfee and Outlook Express where incoming emails just "disappear" due to the index getting partially trashed. Apparently, McAfee are aware of the problem and are working on a fix.
In the mean time, the options are: Use a different email client or - if this is inconvenient - select the "Compact Messages In The Background" option in Outlook Express, which is supposed to alleviate the problem.
Alternatively, disable email scan, internet filter and download scan in McAfee virus scanner, leaving only system scan (which leaves mailboxes alone) working. This removes half the purpose of having AV software in the first place.
It's a good few months since I last used McAfee but, from memory, there is no setting to block emails or attachments from specified addresses - it's all or nothing.
Ken