Companies these days have to protect their interests. Just as you don't want you neighbours using the internet bandwidth which you pay for at home, companies don't want their internet bandwidth used for frivolous purposes.
This leads to decrease in available bandwidth and also employees spending more time surfing the web, hence a perceived decrease in productivity. Also, certain types of sites have the potential to host malicious software which could be downloaded to & executed on the corporate network.
A company has a right to protect it's interests. Most network administrators have a damned difficult time stopping moronic users, who don't know a thing or even care about web security, from doing stupid things. (BTW i am not a network admin).
The use of such software is simply one way of controlling such misuse.
The intention should not be to entirely restrict use of the web.
We all accept that a bit of levity in the day & being able to do basic stuff such as booking airline tickets leads to a more productive and CHEERFUL employee.
don't be afraid, just be mindful of the sites you visit, go about your stuff as usual but don't overdo it.
...unless of course you're the unfortunate former head of a major irish bank who just happened to be surfing pornographic websites.
That's a different story altogether.