Go to Start > All Programs and see if you can find McAfee from there...
You need to choose between McAfee or ZoneAlarm, it's not wise to have both, it will leave you unprotected as they will clash...
Uninstall the one you don't want to keep...
If you decide to stick with ZA try this fix, it has worked for many...
http://www.gnutellaforums.com/281366-post6.html
If you decide to stick with McAfee (make sure it's not just a trial period)...
Try this advice...
http://www.gnutellaforums.com/278483-post16.html