I'm not sure on the anti-virus / firewall problems you are having wihtout more details, but I can tell you this; you are not the first person and will not be the last to have problems with Mcafee!
As far as the Run / Save option is concerned; if you want to store the file on your hard drive for future use, the select Save. This will download it to the location specified (make a note of where it is).
If you select Run, it will effectively run the file without downloading it*. So, if you are looking at picture and have selected Run, then the picture won't be permanently saved to your hard drive.
Most programmes to you will need to download, you will need to select Save so that you have a copy permanently available to you for re-installing if necessary.
Hope this help, feel free to post back if you get any problems.
* that's not strictly speaking true, in reality it dowenloads a copy to a temporary directory which may be automatcally deleted later. Don't want to confuse issues though!