there should already be a ruleset on your webgateway that cares for URL Filtering by category, as it is part of the default ruleset that comes with McAfee Web Gateway.
If not, you may import a fresh default subrule "URL Filtering by category" from the MWGs Library. The Ruleset itself is quite selfexplanatory, you just have to enable or disable settings, as well as enhancing the correspondig URL and/or category lists to meet your special reqiuirements:
this is done by the last line of the first ruleset (see image 1) "Block URLs With Bad Reputation". As this Rule is prior to the Whitelists on the subtree, Websites with bad reputation will be blocked before the Whitelist can take place.
If you want to check for Unverified Reputation you need to extend this rule, e.g. like this: