This is an issue with your antivirus program. It is resolved by making sure WeMod is added as an exception in your antivirus program, especially before you launch it after (re)installation.
Try this thread here: "Wemod failed loading the cheats into your game" / "We’re having trouble downloading the cheats" - #2 by Ravenfyre.
McAfee is one of those excessively trigger-happy antiviruses (the others being Nortons, Eset and BitDefender) who like to regularly block legit things on user’s PCs.
Back in the now-gone days when I used McAfee it caused me more problems than it solved. The final straw for me was when it blocked me from accessing the internet entirely - I mean sure that would stop me getting viruses, but at the same time stopped me working too. 