It seems there is a bug in SDM with relation to the current IOS image which prevents SDM from recognising that the 857 does not support the zone based firewall or class-map. This is not a problem with earlier IOS versions. The work around is to connect via the console (or telnet, ssh if you have that running) and to create a single inspection rule.
ip inspect name test tcp
interface Dialer 0
ip inspect test out
Now fire up SDM and you should be good to go. This rule should be wiped when you create your firewall.
Bad Behavior has blocked 195 access attempts in the last 7 days.