Sometimes the Uninstall programs does not remove the entries from the Control Panel's Programs and Features window. This is caused by the Uninstall programs not removing entries about these programs from Registry.
You can try the CCleaner
program (a good freeware program) to clean the stray files and stray registry entries from the system. CCleaner also has a feature to remove the leftout entries from the Programs and Features window. You can remove the leftout MSE entry from teh registry using CCleaner.
After this you can install the MSE again. If you wants an alternative to MSE, you can use Comodo Internet Security Premium
which is a free Antivirus and Firewall program with good reputation.