You need to get a patch from the Microsoft web site, that you have to install 1st otherwise half way through the installation it bombs out...
I've also found while testing a system that if the networks are not plugged in when the machine boots W2K allocates its own default addresses to the NICS, and Proxy then refuses to start as none of the addresess are in its LAT, apart from that it seems OK so far but I'm still testing and haven't used it in anger yet...
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Installing Microsoft Proxy server 2.0 On