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.
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