That's not from Firefox/Mozilla it's most likely from what site your at doing that. It's most likely a malware site and not a official McAfee alert. If you don't have it installed then consider it malware ads and if from a site your on then don't go back to that site as that probably a infected site.

How to remove notification from McAfee?

Are these by chance small popups on bottom right corner of Firefox window? if so then they may be web push notifications from sites you have allowed to send you notifications. Unfortunately sometimes they can be fake virus alerts or fake McAfee alerts or other junk instead of useful notifications from the site. You can revoke the site from sending you notifications.

https://support.mozilla.org/en-US/kb/push-notifications-firefox https://support.mozilla.org/en-US/kb/push-notifications-firefox#w_how-do-i-revoke-web-push-permissions-for-a-specific-site