McAfee verification

I am trying to “verify” my site with McAfee (my security program. I get the following message when I try. Could someone explain please? Thanks.

“We cannot verify a Web site that is configured this way because it allows anyone to verify themselves as the owner of your site. Please update your Web site server configuration to return 404 status codes in the headers for pages that do not exist. Once your site is configured this way then you can return and request a file name verification.”