We used to use Blue coat proxy servers in a cluster with icap scanning, we have now moved on to use Cisco Ironport S series web appliances (with onbox icap scanning)
Reporting will be the same on both above as they use the same sawmill database.
Back in the day websense used to have really nice reporting.
In terms of protecting you from web nasties look at something called Webwasher - used to be owned by secure computing and now its owned by Mcafee.