This is a metaphor. "Caught in the web of" something means that there is a particular condition or problem that a person or group of people are trapped within. Since a web is something that is difficult to escape from, the problem suggested by this metaphor is implied to be continuing. So in the context of your sentence:
"The industry is caught in the web of bribery" means that people within the industry are giving into bribes (an offer of money used to persuade a person to make a decision they otherwise would not make). It's assumed that this is an ongoing issue as well.
Some of my explanation may seem redundant, but I hope you understand my explanation. If you need further explanation, please ask.