Time to ViruScan your C
Drive, or at the very least, your Windows or WINNT folder. (You didn't tell us your OS...).
Make sure you include all sub-folders so as to scan your Documents (Documents and Settings in Win 2K and XP) and also your Temorary Internet Files and, of course, your E-mail Client storage folders.
Unlikely that you caught something because McAfee is good at alerting you when a Virus or Worm arrives.
I had a bad couple of days about 9-10 days ago when I was temporarily unprotected and was caught by W32/Opaserv.worm.gen. It created the dreaded scrsvr.exe and alevir.exe files but McAfee quickly saw them off.
This does seem to be a part of our normal life these days.