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I have never used McAfee personal firewall, That is why I gave a link to some firewall tests. However the sooner you install a firewall, hopefully the sooner it will block (ask you about) the outbound connection and so no inbound files. It could also identify the process responsible for the downloads.
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Having downloaded AVG anti-spyware (a.k.a. ewido), run it from safe mode and report the findings. It may or may not find anything. If not Try the next on a-squared.
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First you have to find it, and if either of the two programs do that then they should be able to deal with it. If not we will take further steps, but I don’t want to swamp you with too many options.