Turn off the Windows firewall, just use the McAffee. Running 2 software firewalls together isn't a good idea, they'll interfere with each other.

Are you running with UPnP enabled in your router, or port forwarding, or neither? Have a look at the link I left you earlier... it's got a lot of info about port forwarding etc. Most routers have their own internal firewall & so either enabling UPnP or (most likely) port forwarding is often needed.

What's the model of your router?