You have installed a web filter and it appears to be having no effect even though you configured the settings properly.
Go into the HTTP protocol properties, and make sure the Web Proxy Filter is selected for this protocol.
IMPORTANT: You must always have the Web Proxy Filter hooked to the HTTP protocol, otherwise all of ISA/TMG's HTTP inspection capability is completely turned off. Never unhook the filter when troubleshooting a problem. If you solve the problem that way, it means you are making ISA completely useless as an application inspection security device for HTTP.