Use the behavior-blocking capabilities in VS Enterprise to block attempted installation. Create a suite of behavior-blocking rules that forbid execution of "attack-capable" filetypes within the user's profile directory. In the version of VS Enterprise I used, you'd do that
on this panel :camera: in the
Files and folders to block: section.
One rule to block .EXE.
One rule to block .COM.
One rule to block .PIF.
One rule to block .SCR.
and so forth. You'll get some very interesting insights into user behavior as you peruse your ePO logs, not to mention attempted exploits via the usual methods (browsers, media players, etc).
Also, in the Unwanted Programs Policy panel, ensure that you do have all the optional detection categories enabled (spyware, adware, RATs, dialers, jokes, etc).
Overall, McAfee's not good at detecting spyware, but it was never an issue with my fleet regardless, thanks to a good defense-in-depth setup. The behavior-blocking rules were part of the big picture.