for some reason, Mcafee isn't updating its virus signatures when you first log on,and that is why you are getting the message of course. Have you tried a manual update?
Difficult to say what the problem is just from reading your message here. You could try posting on the Mcafee forum ( or looking to see what solutions may have been posted as I think this is not an unknown problem) and perhaps give a few more details about your machine and any recent changes you may have made
here is a link
http://community.mcafee.com/