Hmm, have you set up specific profiles for the url filtering yet? You will be able to select different profiles only if it has been setup.
It should appear in the drop down list.
You need to go to:
Security->WebFiltering->Profiles->Custom
Clone the original ns-profile, make any changes you like and then save it.
After that when you go to the policy tab, you will be able to select it from the drop down menu next to the check-box for url filtering.
If you post :
get url
get url all
get conf | i url
we should be able to tell if you have configured the url filtering profile.
Also, 5.3 is pretty old, the webUI steps maybe a little different from what I mentioned above but the basic steps are still the same.