Hi Hon -
Youtube belongs to the Streaming Media category and for all web radio, use the Internet Radio / TV category.
You can check the categorization for any given URL at:
+ Navigate through Feedback > Check Single URL and select the McAfee Web Gateway v7.x/6.9.x (resident) product in the drop down > Check URL.
As for the rule, import the default rule called "URL Filtering" from the rule set library, if you haven't already. Within this Rule set there is a rule called "Block URLs Whose Category is in Category BlockList." Click on the "Category blocklist" to edit it so it will include the categories you want to block, in this case Streaming Media & Internet Radio / TV category.