quote from pcmag.com
FILENAME: Alg.exe.
PROGRAM NAME: Application Layer Gateway.
DESCRIPTION: Part of Windows XP that provides support for ICS and Internet Connection Firewall (ICF).
RECOMMENDED ACTION: If a third-party firewall warns you that ALG.exe wants access, check to make sure you're not double-firewalled. If you are, disable ICF. If you are using neither ICF nor ICS and are warned that ALG.exe is trying to access the Net, deny it. A Trojan horse or worm may be trying to use it as a backdoor.
Looks like you don't need that since you are using McAfee Firewall.
FILENAME: Alg.exe.
PROGRAM NAME: Application Layer Gateway.
DESCRIPTION: Part of Windows XP that provides support for ICS and Internet Connection Firewall (ICF).
RECOMMENDED ACTION: If a third-party firewall warns you that ALG.exe wants access, check to make sure you're not double-firewalled. If you are, disable ICF. If you are using neither ICF nor ICS and are warned that ALG.exe is trying to access the Net, deny it. A Trojan horse or worm may be trying to use it as a backdoor.
Looks like you don't need that since you are using McAfee Firewall.