Websense seems to be getting a bit smarter from when I was in high school. But remote desktop can be used to connect to a machine over the internet. You just have to make sure you forward the ports on your router to allow it. Then you just connect using your home IP (sites like http://www.ipchicken.com will tell you what it is). You can also transfer files when using remote desktop, there's a little check box in the settings that offers to link the clipboard (used for copying and pasting) and linking the local drives and other resources (like printers and usb ports). File download will only be as quick as your home machine can upload. This isn't always a bad thing as long as you're not trying to download multi gig files and have a decent internet connection at home.

As far as I know, most (if not all) vnc programs will allow you to connect via an IP address. You would just have to put in your home IP and make sure port forwarding is set up. Even if Websense somehow manages to block your IP address, a lot of times if you call up your ISP and say that you're worried about hackers accessing your stuff they will change your IP for you. Not to mention my IP sometimes changes by itself once a month or so, all depends on their system.

Another option - depending how bad you really want to bypass the filter
 

You could setup an SSH server at your home, port forward the specified port on the ssh server (22 default ssh port) to the server (if you are using NAT). Once the ssh server has been configured to allow the IP range you will be connecting from (school, work, etc...) you will now be able to connect back to your home via the ssh server. So now you will have to download at work or school a program called PuTTY which is free. Once you have putty on your PC open it and configure the tunnel. Check out this site "http://www.webhostingtalk.com/showthread.php?t=539067" more info on setting up the tunnel in PuTTY. Once you have the tunnel setup in PuTTY you then configure IE or browser of choice. Goto tool>internet options>connections>lan settings then uncheck the auto detect settings, and then check the proxy server box. You will now be able to fill in the box with 127.0.0.1 and the port which you specified while creating a tunnel in PuTTY. Next click on advanced and in the box for exceptions you will need to enter " 127.0.0.1; localhost " without the " 's. Click on ok to close the windows out, and you will now be using your home internet connection to browse the web through an ssh tunnel bypassing any filter your network admins apply to the network. They can't even see what you are doing with sniffers since its all going through an ssh tunnel.

That's a good idea, but there is a problem. If the admins have their security done properly, they will have the proxy tab along with other internet setting inaccessible by group policy (providing you're using IE). There really isn't much you can do to circumvent group policy unless you know a few admin passwords. At that point you're committing a much greater offense than bypassing websense.