Patti,
As you can see from the popup you've received and the response you've gotten, determining whether a message displayed in a popup is truly from McAfee (or any other security app like Microsoft's own Windows Defender for example) is often quite difficult.
However, there are often subtle clues that most people miss and in fact McAfee themselves have tried to aid in making this clear via the following page on their own Customer Service Knowledge Base site.
McAfee KB - Your browser displays fake McAfee notifications (TS102999)
In your case, the popup you've received provides nothing specific to a portion of McAfee and instead simply appears to be a generic malvertisement, probably driven from whatever website you happened to be browsing, typically pushed through a redirection from one of the ads displayed along the bottom of the page (note the 'ad' tag visible at the very bottom of the one in the middle).
Since there's not only no specific instruction related to a McAfee component, but also no copyright notice, there's nothing claiming it's truly from McAfee, just the easily abused graphic that appears to be the McAfee logo, which anyone could easily copy and paste into their own advertisement.
So in this case, I suspect the popup is fake and thus the best option to try first is to simply close the popup itself by either pressing Alt-F4 or if that doesn't work, try opening Task Manager (right-click the taskbar or press Ctrl-Alt-Del keys together), then in the first 'Processes' tab, select the Microsoft Edge or other browser you're using and click the End task button (or right-click menu selection).
Rob