You're likely to get a menu, or a control panel might launch. Double-clicking it may also bring up a control panel. Clicking on the former will disable its background activities, but it will remain loaded and in system memory. If you choose the latter, you will get a control panel that lets you completely unload Auto-Protect, and it won't launch the next time you start your computer. If you use McAfee VirusScan 4.0, right-clicking on its tray icon also will bring up either a menu that lets you disable or enable different components, or a full control panel that lets you unload the module altogether.
Some programs are even easier to prevent from loading when a PC boots up.
They launch by putting an icon in the Startup folder, and preventing this is as simple as moving the icon out of the folder. To see what's in Startup, right-click on the Start button and choose Explore from the menu that appears. Open the Programs folder, then go to the Startup folder and look inside. Drag the icons of the programs you don't want to launch from the Startup folder and onto this new folder. Restart your computer, and the programs won't be running.