Simply double click on Mcafee Icon on the Taskbar. Your McAfee Account Information will be opened. You will be asked to enter your e-mail id here so that mcafee can send you your Subscription Keycard. And done, now the Mcafee product is setup. It will no more show that warning. 
I have a Dell Inspiron laptop running Windows 8. The McAfee antivirus programme was pre-installed on it and was working perfectly fine, but now, suddenly it shows up as "software not set up" in the hidden icons tray. It seems to running perfectly fine, though. Should I be worried? Lately, my computer freezes quite frequently, and only a hard re-boot can rescue it. Is the computer infected or about to crash? 
McAfee suddenly shows up as "software not set up"