What should I do when window pops up saying Mac OS is infected?

Close the window and move on with your live. It's a scam trying to get you to buy useless software. No, you don't need McAfee. It falls into the "useless software" category.

See also here:

Effective defenses against malware and ot… - Apple Community

Totally agree with IdrisSeabright, it's a scam, but if still worried the free Malwarebytes may take care of it...

https://www.malwarebytes.com/mac/

Great to hear Ann, take care my friend.:)