If you must use a compressed file, ensure you scan it with an existing security tool or upload it to a site like VirusTotal before opening.
If you are trying to a specific .rar file that McAfee is currently blocking, you can add an exception by going to My Protection > Real-Time Scanning > Excluded Files and adding the file there. Download pack mcafee rar
Click to install the software on your current or additional devices. A Note on .rar Files If you must use a compressed file, ensure