Mcafee is blocking my bank website but i dont have Mcafee on my Mac

You did not state whether you previously had Mcafee installed. If so, unless their uninstaller app was used, some parts of Mcafee remain in the computer. You can try reinstalling Mcafee and then using their uninstaller to completely remove the app and see if that fixes things.

Among the other suggestions try using EtreCheck and posting its report in a reply. For illustrated instructions read How to use the Add Text Feature When Posting Large Amounts of Text, i.e. an Etrecheck Report - Apple Community.

EtreCheck may provide some clues, or it may not, but it will be more information than we have now. The cause may lie beyond your Mac, in which case we can explore some other troubleshooting steps.

CJenkerson wrote:

Okay, this has been frustrating for me for a few hours now, and I don't know what to do. I have been looking all over the internet for an answer but keep running into the same explanation, "How to remove Mcafee from your Mac."

I don't have McAfee on my Mac. I did several deep dives into my computer's files, and it's not there. However, every time I try to log into my Capital One account, the page is blocked by "http://blockpg-aloe.safezone.mcafee.com/blockpage/?ref=9583f51938661fccc80c00c69ae38e08". I don't know the precise cause and need help fixing this. How can McAfee block a web page when it's not on my Mac?

Did you try using a different browser and compare your results...?

Stop Unwanted Notifications

Stop unwanted Notifications - Apple Community

About those "<app> will damage your computer" messages

About those "&lt;app&gt; will damage your… - Apple Community

other possibilities:

Turn your firewall off (?)

Turn off Stealth mode (?)

renew the DHCP lease (?)

Great! That's one of the causes that can lie beyond your Mac. Glad you found it.