Under Scan Options is a checkbox next to Scan for new unknown viruses. Leaving this box turns on heuristic detection. Heuristics use known traits from past viruses and worms to make educated guesses about potential new threats. This detection is not perfect, but it is generally wise to leave it enabled so that you might detect threats that McAfee has not yet created new virus definitions for or that your system may not yet be updated to detect.
At the bottom of the screen you can select what types of files ActiveShield should scan. The majority of virus and worm threats in the past came through either executable program files or through documents containing macros. Scanning Program files and documents only will catch those threats.
But, malware authors have gotten much more clever and even file types that should not execute a program are no guarantee against becoming infected. It uses more processing power to scan All files, but I recommend that you leave the selection on All files for better protection.