Do you mean all internet traffic? Or just web traffic?
If you use a Sonicwall TotalSecure firewall, and enable the ViewPoint service (you also need a PC to run the Viewpoint database and report system - best not to use a main server) then you get comprehensive reports on ALL traffic in and out of the network. You also get various content filtering options some of which will be cheaper than Websense and may provide the level of cover you need.
Squid as suggested is fine for logging *web* access - provided you configure your network so that all web traffic HAS to go through the squid.