If you are a UK visitor you will know all to well about the websense filtering system.
The websense filtering system is used throughout workplaces and educational institutions throughout the country.
One of the major problems with websense is that it is so restrictive that even doing the work you need to do is sometimes almost impossible as the filters are so strict.

So what can you do?

If the filter is not incredibly restrictive, you may be able to use Hexalist Web Proxy List to find web proxies. Some web filtering systems will prevent you from accessing hexalist.com, or prevent you from using proxies as soon as they are released by checking the tags and content or seeing if content is being forwarded. SSL may help, but many filters have an SSL whitelist today.

One great solution, if you are able to execute files is to download and run UltraSurf. It is very good at both bypassing websense and using proxy via http to tunnel through the firewall if the firewall is strict too.

If your firewall is not so strict.. you could just use SSL tunneling too.