the question is pretty generic. Basically you import one of the "URL Filter by Category" rule sets (there should already be one in the default policy that comes with the product) and select the categories which MWG should block.
If one URL is requested that is part of one if the listed categories, the request is blocked.
Please share some more details on where you are and where help is required.
Might be good to include how users are authenticating and how you are grouping the users to run them through the policy. As an example, we use AD and have AD groups that map to the rule in MWG. But filtering like this is a different configuration than other ways. So the more details you can provide, the better.
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