Installation, through ePolicy Orchestrator (ePO) or manually, can fail for different reasons. ePO installation is silent and does not alert the user regarding the cause of the installation failure. The most common cause of installation failure is incompatibility with the product requirements.

Make sure that the operating system on which McAfee Client Proxy is installed is supported. See KB74182 - How to create a McAfee maintained known Certificate Authority list for details.
If the issue persists, install the redistributable manually. See http://www.microsoft.com/download/en/details.aspx?id=8328.