So you ignored the "Group" selection in URL Filtering, I've made the mistake once. Set different ips into specific groups in User Group, and when you configure the Filtering, choose any group then it...

You Wimax modem is a modem router?? Your 5120's LAN ip is the same as Wimax's LAN ip,try set the 5120's LAN ip as 192.168.2.2 and try...it might works