Usually, the anti-whatever that comes with a Dell PC are trial versions. So it seems you're not satisfied with it. That can happen with trials. That's what they are for.
Time to move on then. Two options in this specific case.
- Don't use the McAfee firewall but keep using (which means: paying) their antivirus. Trust the Windows firewall or install another one (like Comodo or ZoneAlarm, without using their antivirus).
- Totally uninstall McAfee and use other security software for all your needs.