Hi,
I think that you have in backgroud a service (from thisprogram) which run when you try to remove it. Disable/close autoprotect if exist on taskbar. Check your autoexec.bat if launch at startup McAfee. Check in Startmenu\Programs\Startup if exist any shortcut for McAfee.
Try again uninstall.
If don't work:
Make a backup of your registry and then use find "McAfee" and delete all these keys from registry (to open registry open run, from start menu, type regedit, press enter).
After that delete from HDD the McAfee's directory.
If somethings go wrong with registry, simply double clik on saved registry file and the registry will be restored.