Are you saying you have Proxy and Exchange on the same server???? If so, I'm surprised you can get it to work. You didn't say if your clients are getting their email as well as being able to surf the web.
The way my network is setup is this. A cisco router takes the internet traffic and runs it a cisco switch with three VLANs. One VLAN is for the internal network. The other two are for the wireless point-2-point(connects two sites by microwave towers) and the wireless internet which handles the email and internet surf traffic. On my exchange and proxy servers, I have two NICs a piece. One for the internal traffic and one for the Internet. If I'm having internet or email problems, I can tell if it's an inside sw problem if I canconnect to the Internet without using the proxy. It's a nice way to work so long as you've got a darn good firewall, pay attention to your network traffic and keep up on your patches and antivirus updates.
You may have your router configured to not have the exchange and proxy servers on the web. If so, can't help you there.