There's basically two steps that need to be done:
1. Join the MWG to the domain (assuming you want NTLM)
Corresponding guide: Web Gateway domain communication for NTLM authentication
2. Add rules which perform Authentication
Corresponding guide: Support Doc: Authentication Examples by Deployment Method
Which part were you stuck on or confused about? I'm not trying to say "RTM" here, just trying to understand where you're at to give better advice.