How do you get McAfee Security to stop deleting your favorite game

If you have an enterprise version of the software, you go into the program and set an exception/exclusion for the program. The process might be something like:
Right-click the McAfee icon in the notification area at the far right of the taskbar.
Open the McAfee Personal Firewall Plus console.
On the left navigation bar, select Internet Applications.

Sadly, the home user product doesn't allow you to exclude files.

You may be able to recover the deleted file by following the instructions at the McAfee site in the link below.

Be very careful about doing that though. If McAfee keeps deleting the game, it may very well be one that has been identified as containing a Trojan. A Trojan is a program that appears to be benign or even desirable but which contains a hidden malicious payload such as a keylogger, botnet software, spyware, data stealer or other malware. You might want to go online and do a search on this "favorite game" and see if it has been identified that way.