Need help with viruses?

Ok, so my computer is realy slow and its getting pretty annoying. I know that sometimes when i play a game, this warning comes out "Running this file may harm your computer." So I never click on those. But do games like on the website fog.com or addicting games have viruses? Also, I want to know whats the point of the internet if nearly everything have viruses. I have McAfee virus protecter but it isn't seeming to work. So is it normal for that popout to come about the running this file may harm your computer whenever I play a game or look at an ad. Does games without that popout have no viruses? I want to know. Also, what are some tips for avoiding viruses and making your computer faster. Best answere plus 5 as rating for whoever answeres all of my questions!