Hi,
You may need to add the exception to the firewall to continue with the game. It is likely that McAfee might be blocking the program to access the Internet.
I would suggest you to open McAfee and on the 'Firewall' page, click on 'restore the default settings'. You may check if the issue is resolved.
If you are using Windows firewall you may refer to the article.
Windows Firewall from start to finish
http://windows.microsoft.com/en-in/windows-8/windows-firewall-from-start-to-finish
Also refer:
What are the risks of allowing apps through a firewall?
http://windows.microsoft.com/en-in/windows-8/risks-of-allowing-apps-through-firewall
Hope this information helps. Reply with the status so that we could help you further.