source: https://www.securityfocus.com/bid/9149/info

Websense Enterprise displays error pages for blocked sites without sufficiently sanitizing HTML and script code from the blocked site URI. This could allow for cross-site scripting attacks if a victim user visits a link to a blocked site that includes hostile HTML and script code. Exploitation could permit theft of cookie-based authentication credentials or other consequences. 

http://[BlockedSite]?<SCRIPT>alert('hello')</SCRIPT>