Did you purposely install mIRC? If so, then you can ignore McAfee and set mIRC as "safe". A "PUP" (Potentially Unwanted Program) is not necessarily a bad thing. It just means that the program in question may be bad if it isn't something you meant to install and use. If you installed it on purpose, then it is perfectly safe to use and you can ignore the warning.
Of course, if you didn't install mIRC and it just appeared from some other program installation or whatever, then you should remove it even if you think you might want to use it. It's better to remove it if it was installed without your knowledge and then install a new copy from here to prevent any possible virus issues.
As for removing it, make sure it isn't running. Press Ctrl-Alt-Del to open the Task Manager. Click the Processes tab and search for any filename starting with "mIRC". Click any that you find and click the End Process button and say OK. Then try removing it. If you still have problems, boot into safe mode and try again.