Check your McAfee features and settings. I've never used McAfee before but looking at the information on the internet, it has real-time protection, firewall and antimalware/spyware. Can you check your windows firewall if its also enabled along with McAfee's firewall.
No, it's never 'worked' when wired.
Click on Start - Control Panel - View Network Status - Change Adapter settings (Left Panel).
Do you see a Local Area Connection icon for your LAN card (Ex. Atheros xxxx PCI Ethernet) together with Network icon for wireless card?
If yes, right-click LAN icon and choose Properties - Click Configure. Under General tab, what is the status of the device?