I get a notification that a "risky" connection was blocked but I don't have any option to say - allow it. Where can I allow certain connections?

I haven't used McAfee in years, so the link below may or may not apply - give it a look see.

How to Bypass Smartfilter Internet Blocking

Thank you InlandAZ,

What I am doing now is to disconnect the firewall for 15 min, but there should be a way to let a program connect to internet. Sometimes it asks if one wants to allow the connection but other it just blocks it

There may be different instructions for different versions - but here's one way to disable the firewall -

How to Disable a McAfee Firewall

Thanks!

Somewhere in Tools or Setting, or elsewhere, there should be an exclusion section that allows you to tell the security program which programs can do this or that.

Like Inland, it's been some time since I've messed with McAffee, but the security programs I currently use have that exclusion option.