You need to use one of the following feature sets for WebSense filtering on the 871s:
ADV. IP SERVICES
ADV. ENTERPRISE SERVICES
ADVANCED SECURITY
The first 2 feature sets are available for 12.3(8)YI2 while the adv. security is available with 12.4(4)T1.
Hope that helps - pls rate the post if it does.
Regards,
Paresh.