First make sure that the proxy server 2.0 is running the winsock service. ICQ will not work from the WebProxy service.
Next, make sure that you have the WSP Client software installed and properly configured on your W2K PC.
If access controls are enabled on the Proxy 2.0 server Winsock Service (right click on winsock and choose properties). Make sure that your user account is listed under 'unlimited access' or 'ICQ' protocol.
ICQ should run fine on your PC if the above conditions are met.
If you need more detailed instructions or still having problems email me.