Hi,
the Unwanted programs detection is checked in the McAfee On Access Scan Properties => Default Processes => tab Scan Items. This also prevents running the portable version of CCleaner. As soon as you connect the USB Stick the ccleaner.exe is gone/quarantined.
In the McAfee On Access Scan Properties => Default Processes => tab Exclusions you could exclude the CCleaner installation directory from this detection.
As my McAfee is a company install, where I don't have any access to the settings, I've checked the existing exlusions, found a directory, which didn't even exist (c:\views*), and just installed CCleaner in there and CCleaner finally started.
xingo