There's no difference whatsoever between PHNL and the other scenery installers. They all get the SAME, exact, bglman.dll and .dat files from the same URL, and you should really only use the current version, which is impossible to miss, since it's downloaded by all installers from the same place.
The only difference are old Cloud9 products that don't have an FSDT updated installer. These should be installed first, because they don't have an online updater.
If you have any FSDT installers with online update, their installation order doesn't matter, since they always get the same files.
This, provided everything work without the interference of the antivirus.
IF the antivirus is interfering, it will also block the download and self-update of the files, and McAfee in this case is the worse, since it doesn't allow you to exclude a folder from scanning. In this case, everything could happen.
In theory, it should work by installing with the antivirus off, then configuring it to exclude the affected files but, since McAfee doesn't allow user exclusions (unless you have the Enterprise version), this will be difficult to do with it.
I'm sorry, but the only real solution is to switch to a better antivirus, since being able to exclude files from scanning is CRUCIAL to any antivirus, and it's a feature of basically all of them, including free ones.
Flight1 has the same suggestion on their forum, because it's a common problem:http://www.simforums.com/forums/forum_posts.asp?TID=24061