Will Proxy 2.2 work on W2K Pro ?

I was wondering if I could install MS Proxy 2.2 on my windows 2000 machine. it has a winnt directory, although I’m running it on FAT32 not NTFS. I was also wondering what would be a good program to use for haveing a FTP server program running on this box. WAR ftp Daemon seems like a popular one, but it was written by some rogue programmer and I’m not sure I trust the stability, FTP serv-U seems to a popular one as well, but it doesn’t work well with large files and is reported to be unstable.
One last Question, I’m using Zone Alarm to protect myself from intrusion via my cable connection, is this the right choice ? if not what would be a good one.

Thanks in advance for any advice !