Ricarte,
Based on this doc and Kureli's explanation I think it is not possible
https://supportforums.cisco.com/docs/DOC-20366#Limitations
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Websense is for content and based off of destination address/URL.
If you look at the limitations up above the first bullet says is all. We cannot do destination based URL only fqdn. Objects can take fqdn and we can call object under object-group. For example you can allow or deny to yahoo.com but not yahoo.com/index.html
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Luis Silva
"If you need PDI (Planning, Design, Implement) assistance feel free to rich us"
http://www.cisco.com/web/partners/tools/pdihd.html
Luis Silva