It depends on the specific role you are applying for and that role will in turn depend on what your background is. Meaning for each level of education/experience there is a different entry role. Go on their website (mckinsey careers) and choose your degree and preferred office location (Dubai/UAE) and you will see what process they use.
Sometimes McK has application deadlines for specific roles and processes them in batch. In that case you have to look out for these dates. Otherwise, many applications are on a rolling basis, meaning you can apply at any time. If it is on a rolling basis there is no better or worse time to apply. They will all be treated equally.