What do you mean, "on screen doesn't appear any program"? Do you mean there's no icon on the desktop?
Try going to the program file (in C://windows/program files) and finding a folder called McAfee. In that you'll find a file that ends in .exe. Right-click and hold it while dragging it on to your desktop. Windows will tell you it's creating a shortcut. let it do that and you'll have an icon on your desktop that you can double-click to run the program.
However, two things. First, I doubt Windows 98 will be able to run a modern version of McAfee; and second, if it will run, it's probably already running in the background, which is what antivirus software is supposed to do: it will run itself when the machine starts.