McAfee Internet Security 2009

I have a question regarding McAfee Internet Security 2009 which I installed
on my new HP Pavilion desktop with Vista Home Prem. (32 bits). After a
rather difficult install, it seems to be working OK and reports I'm
protected in all categories, but, so far, after a couple weeks, it seems it
hasn't caught one single thing - not even a tracking cookie. Is this the
way it's supposed to operate? Is there a log somewhere that would inform me
of any activity besides updates and those confusing reports of blocked
intrusions made, I assume, by the McAfee Firewall?

In the past, with other systems, I would at least be actively informed of
catching tracking cookies, if nothing else, and given a choice what to do
with them.
Al