If I understood your question correctly, you are asking how to add new sites to be classified and blocked with notification.
It also looks like you are using a small appliance with WebUI.
In this case, the "Block other undesired applications" should be enabled. Click on the "other undesired applications":
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and either:
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or:
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Generally, small appliances with WebUI are seldom used in very complex environments and their policies are fairly simple.
That being said, there is pretty extensive administration guide available for those at:
Check Point 600/700 Appliances R77.20.75 Administration Guide
Regards,
Vladimir