Hi , sounds like you just used Windows add/remove / uninstall applet via control panel

complete info here

http://service.mcafee.com/FAQDocument.aspx?id=TS101331

need to run the removal tool 

 http://download.mcafee.com/products/licensed/cust_support_patches/MCPR.exe

to completely remove all components

if really messy , you might have to reinstall the application and then uninstall as per

ps - disable Windows defender real-time scanner while uninstalling security apps

hope this helps , regards