Websense is hooked in at the perimeter firewall level, usually. The firewall inspects http requests and sends the url to the filter server farm and then either allows or denies the connection. Websense does support exclusion lists, but, your admin would have to add you to that.

Various methods I've seen folks use to get around it include ssh reverse proxying to your house, remote desktop to the house, an http proxy, vpn to the house. All are trivial to setup, just be careful that you're not violating osme company policy in the AUP you probably signed when you were hired.