The McAffee link was at the bottom of the page but it seems they have changed the address. Use this one http://ts.mcafeehelp.com/?siteID=1&resolution=1024x768, choose model & configure to allow port option. Add port 6346 for both TCP & UDP.
However, you may have problems if you run both McAffee & XP firewalls. Most FW makers recommend against using 2 at same time.