Like any good firewall, McAfee Firewall keeps track of any connection to find out if it is suspicious or on the other hand, if it's secure. Obviously, its job will be to repel any malicious connections and identify those that may be dangerous.
Once you have configured all your filters and made sure that the applications that you usually use are secured, the truth is that having a protector like McAfee Firewall guarding the security of your computer is one of the most powerful options.
The interface that you'll find when you download McAfee Firewall for free is somewhat outdated now, even though it is very usable. That is why if you're familiar with Windows, you shouldn't have any problems to configure and use McAfee Firewall.