You can set the recycle bin to automatically delete files.
McAfee is probably the worst AV of them all, as others on many different forums will tell you. Just try uninstalling it to see if it helps. It is a hog of resources and doesn't play nice. Some like it I guess, but I recommend almost anything else.
Temporary internet files don't need to be destroyed unless you are experiencing slow-downs (on some computers), as it saves information that enables faster web browsing. Any information it discloses to others is minor at best, and shouldn't matter unless you are overly worried about being hidden from "the big guy" or such. You can be sure Microsoft would fear a lawsuit to the point that it will not allow private information to be disclosed to others (And a security update follows provided a flaw is discovered). You can delete those through disk cleanup if you really want to, but it is a hassle when you have to re-enter common information into the web browser because you would refuse to let it save it.
You can find MSE here
. Also, here is a thread that discusses some of the best antiviruses out there, so you might check it out and make your decision based off of these opinions: What's the Best Anti-virus?
Hope this clears some things up for ya. Happy holidays to you.