First you need to know if you have the right license file for your version.
Web Gateway 6.x licenses are *.txt
Web Gateway 7.x licenses are *.xml
If you need to import the license, in MWG 6.x go to Home > License.
In MWG 7.x go to Configuration > [select your appliance] > License.
If you do not have the right license follow our KB on getting the correct license.
FAQs for Web Gateway 7.x licensing - https://kc.mcafee.com/corporate/index?page=content&id=KB73701
If all else fails email email@example.com along with the steps you have tried.