When you said "The TA is installed", which TA did you mean? Typically TAs are used to extract fields from the events, and also provide eventtypes and tags for Common Information Model (CIM) compliance. Splunk Enterprise Security does come with a TA for websense proxies: http://docs.splunk.com/Documentation/ES/latest/CreateTA/Out-of-the-boxsourcetypes.
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What version of Splunk are you using? There is a known issue (ADDON-2610/SPL-91709) for 6.3 and below for setting up this add-on in Windows environments -> http://docs.splunk.com/Documentation/AddOns/released/CiscoISE/Releasenotes
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