Although you don't say which Proxy software/hardware solution you are using, some proxy servers require a client component to be installed for 3rd party apps (such as FTP) to work, whilst browsers will still function normally if their settings for the proxy server are defined in the connection tab of Internet Options.
Make sure you have installed any client app needed to use the proxy correctly. Typical examples of software which requires this are MS Proxy & MS ISA Server. If yours is one ofthese, there is usually a share created on the proxy server called MSPCLNT which contains a setup program to be run on each client PC.
A good way to check if this is the case is to attempt an FTP session from your browser (i.e. type the URL 'ftp://ftp.microsoft.com'), if this works and your FTP software doesn't then there is probably a missing client component for your Proxy.