This is probably caused by the default behavior of Microsoft ISA server, which only allows requests to ports 443 and 563 using its HTTP Connect method. (Primary use of HTTP Connect is to allow SSL connections to HTTPS servers).
The Microsoft Knowledge Base article Q283284 addresses this issue.
To access FTP sites through ISA server's HTTP proxy, access to all ports must be allowed. FTP's control connection port is 21 by default, but data connections can use virtually any port, because it is assigned by the FTP server. (Although allowing port 21 and ports >1024 should be enough, there might be exceptions.)
To allow connections to all ports through the HTTP proxy, following VB script must be run on the ISA server:
set tmp=tprange.AddRange("FTP", 1, 65535)
After the script is run and "Microsoft Firewall Service" ("Microsoft ISA Server Control" in earlier versions) is restarted, it should work.