On the Firewall appliance you need to enable SmartFilter auditing:-
Policy --> Application Defenses --> Smartfilter, select the Audit tab and enable SmartFilter auditing.
You will then need to select the audit destination "Remote" (or both) and enter the IP address of the server you are using to run Web Reporter.
Though I haven't looked at it for quite some time, you then go to the Web Reporter GUI and create a log source.
In the Web Reporter GUI go to Administration --> Setup --> Log Sources to create your new log source.
Select the "Accept incoming log files from" option (as the Firewall sends its logs to Web Reporter, not the other way around, I believe) and this will then allow you to select "McAfee Firewall Enterprise" in the Log Format field.
The Firewall should then start sending web log information to the server running web reporter and once Web Report has processed this information you should start to see data in the reports.