Do you have two network cards in the Win2K server?
How is the server connected to the internet? Via dial-up or a broadband connection?
Its not necessary to use a proxy server (such as AnalogX) if you only want to use it for Internet connectionSharing (ICS), but if you use a broadband connection on a second nic, then you will need to use some other tool to enable it as Microsoft's ICS for DSL and cable basically sucks.
After spending a whole day and a half trying Win2K server and Win2Kprofessional, I came to this conclusion.
Now I use raspppoe and it seems to work fine.
http://user.cs.tu-berlin.de/~normanb/
...However... if its simply dial-up then you can just enable ICS on the Win2K server. It works fine. Check out "Internet Connection Sharing" in the MS help for this.
When you do this, the Domain controllers IP address will be set to 192.168.0.1 (which it is already so no problems)
Cheers,
Tim.