1. Check your default FTP sites properties to make sure you are using the anonymous user. And also check under Web Proxy Service Properties/Permissions to make sure access control is not on or set for read access for the groups you want.
2. On your Exchange box, open the Exchange Admin. And navigate to %your_domain%\ configuration connections and look for Internet Mail Service. Check the properties\ Routing for %your_domain%.com entry and the Address Space tab for a SMTP entry. This SMTP entry should read: type: SMTP, Address: *, Cost:1, and Scope: Organization.
3. Is this for Admin or for Publishing? If for Admin. = make sure you are a member of the Operators group. For Publishing = Look at the Web Proxy Service Properties \ Publishing tab. Enable Web Publishing and set the location of the files accordingly, you might want to setup reverse lookup also.
Hope this solves your problems. Also, here are the white papers from microsoft on the subject, they helped me a lot.
http://support.microsoft.com/support/kb/articles/Q181/8/47.ASP
http://support.microsoft.com/support/kb/articles/Q178/5/32.ASP
http://support.microsoft.com/support/kb/articles/Q222/1/34.ASP