How to prevent a Anti-Virus from removing a program?

I recently installed a game and since I've installed it my Anti-Virus (McAfee - its already been paid for so changing anti virus software isn't an option) has continuously removed the game exe because it detects a Trojan (I know for a fact the game is safe).  I've turned off the 'real time scanning' which detects virus's upon launching/downloading it but the game exe is still being removed from my PC and I can't make the anti-virus software 'allow' it through because the software detects it's unsafe and a Trojan (which its not).

Is there anyway I can change a setting perhaps on my PC or in the properties of the folder (maybe changing the system control or something?)  that will stop whatever piece of software is removing the game?  It's really annoying because It will remove the exe in the middle of game play and the game will glitch.  So far I've just kept a copy of the exe on a USB and moved it over every time it's been removed, but it's super annoying! 

Any suggestions?? 

Thanks!

Yeah there is an exception list for 'potential threats' but McAfee is saying this is a Trojan, so that option isn't available... Yeah I was able to restore the file, but when I turned the real time scanning off the anti virus still removed the file but it stopped showing it in the restore area...

I'm not sure what to do anymore

Also my McAfee version is 15.6 and those options included in your link have since been removed/combined into a 'manager'  the problem still persists.

Um I could turn the AV off altogether but as soon as its turned back on it will remove the exe file, plus the anti virus has control over the fire wall and other components I don't want to turn off..

Yes the game requires internet for logging into your account etc.