You need to access the Quarantine section in order to add a file to the Exclusion list. Basically, in McAfee the Exclusions list is actually the Trusted zone. Open McAfee, then use the Navigation and access the Quarantine zone. Right click a file in the Quarantine and add it to the Trusted zone. This way McAfee will avoid scanning or adding the file to quarantine when it's accessed or launched.
There is also a post on the Community Forums hosted by McAfee. Access the page and you should see the entire procedure: https://community.mcafee.com/thread/50050