Question : cannot connect to ftp site via proxy server

i use ie7 with all updates on XP on the Client,
and have proxy server that run isa2006 on windows 2003SP1 with all
updates

cannot connect to ftp site via proxy server

but can connect to ftp site without proxy

Answer : cannot connect to ftp site via proxy server

Bad idea...

Have a look here:
http://technet.microsoft.com/en-us/library/bb794745.aspx

You can change the mode of ISA 2006 active / passive in the registry.
If you can make only active FTP, you have to open port 20 to any inbound to the FTP server.