To your second question first - If I am not mistaken, Websense actually takes control of the NIC itself via a modified stack.
On your first, assuming you are using a MS machine:
Try this article from MS - sorry for the link but a lot of other information that you may end up needing and it is way lengthy to try placing here:
http://support.microsoft.com/kb/325356The article is written for a DC but using steps 5-14 will suffice for what you are attempting to do.