Firewalls

I am using Windows NT 4.0 with Microsoft Proxy 2.0. I have two NICS installed with the gateway on the external NIC. Ive been told that Microsoft Proxy is too weak as a firewall. Is this correct and why? I realise that there is software out there that will enable people to hack into any system, but its been recommended to me to get another firewall using hardware. Does anyone have any recommendations? Which is better?