Ok so I was setting up a Websense VM in standalone mode and there are a few things that you need to do to make this work.
So, part of a Websense implementation includes setting up port spanning/mirroring on a port that connects to you monitor NIC so that it receives all the traffic from your firewall. In ESX you will need to create a vSwitch for the Websense monitor network and allocate one of your physical NIC’s to to it which will plug into your mirror port on the switch.
The important step in creating this vSwitch is to go into the properties and enable it to act in promiscous mode, if you do not do this then your monitor vNic will not see any traffic.
After that just configure the second virtual NIC on your Websense VM to be a part of your Websense monitor network and Bob’s your uncle.
Setting up Websense on a Virtual machine