Well the Websense Server would do URL filtering, actually the Websense software is embedded on the CE image but in order to be used you would probably need a license for the Websense people.
From the docs:
Standalone Content Engines can use a remote Websense enterprise server as a filtering engine and enforce the filtering policy configured on the Websense server. As Figure 11-2 shows, the remote Websense server runs on a separate system (Host A) from the local Websense server and communicates with the standalone Content Engine over the network.
You can also configure a standalone Content Engine to use the integrated Websense server. The integrated Websense server is an internal server that runs on the Content Engine, and is referred to as the local Websense server.
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