Sorry to waste your time. It turns out I was not typing in the correct URL. I mean I wasn't adding /owa or /exchange to the end. This behaviour is expected. I didn't realize. This article explains it:
http://blogs.technet.com/b/isablog/archive/2008/04/29/troubleshooting-owa-2007-publishing-rules-on-isa-server-2006.aspx. I don't know why that was so hard to figure it. Anyway thanks for your help.
