The actor, 45, confesses his older brother Shira would take him out for a drive when he was a young teenager to help Piven obtain his licence.
But his first stint as a driver was a near disaster - because he had no idea where the brake pedal was.
Piven tells WENN, "I remember actually driving with Shira when I was very young and learning how to drive and I was not old enough to drive.
"It was icy in Chicago and I slid between two trees and I'm driving and there was this living room encased in glass and there was this couple in front of their Christmas tree and I'm just barreling towards them 'cause I didn't know how to drive. I finally found where the brake was before I slid and crashed through their window into their living room! That was my first driving experience."
The stars live in the same exclusive area of Los Angeles and McKay wanted to discuss ideas for his new cop comedy The Other Guys with the actress.
But the visit didn't sit well with his spouse, actress/director Shira Piven, according to Mendes' The Other Guys co-star Mark Wahlberg.
He says, "Eva Mendes lives down the road from Adam McKay so one day she's walking the dog and Adam says, 'Hey, come on in for a second, my wife's not home but come check it out.' He doesn't try to hide it from his wife, he tells his wife and she's like, 'Oh cool.'
"But then, she tells one of her girlfriends, and her girlfriend's like, 'Are you crazy? Eva Mendes was in your house, you don't have a problem with that?' Next thing you know, the wife's in a rage, he's in big trouble."