When you get to the Cox page with the download link a serial number will be provided. You can copy/paste that serial number and enter it when prompted during the McAfee installation. If you don't have the number for some reason you can repeat the download process to get a new one.
We actually have a dedicated support channel for our Cox Security Suite. More info on that including a telephone number that you can call for further assistance can be found by visiting http://www.cox.com/residential/support/internet/article.cox?articleId=a1c90360-5725-11e5-d190-000000000000