Don't use 2 software firewalls together, they'll interfere with each other.
Lots of Vista users have had troubles with McAfee. Read through the threads below for more info & advice. If none of those help, use the forum search to look through older threads...or just have a browse through this Vista forum section

Vista + McAfee 2007 + LimeWire = dropping connection

“No Compromise” Vista-McAfee-Limewire Solution

Can't Connect With VISTA!

If you tell us the brand & model of your modem/router, we might be able to help you to get rid of that firewall icon.