which exact piece of information is missing? On MWG side you will only need to activate the ICAP Server option in the Configration tab. This will cause MWG to start listening in port 1344 for ICAP requests. You have to enable the ICAP Client in the Squid configuration, and tell Squid to send every request to MWG for filtering. Configuration examples can be found at http://wiki.squid-cache.org/Features/ICAP.
Once the connection is setup you should no longer be able to download the virus sample from www.eicar.com. Once this works the ICAP connection works as expected and you can start to modify the MWG policy to match your requirements.