Generally, I would not think that you would need to utilize Proxy any longer. W2k comes with Internet Connection Sharing or the more flexible NAT (Network Address Translation). These work more seamlessly with the client machines and generally operate faster.
Dig Deeper on Windows client management
Related Q&A from Paul Hinsberg
Need to take an in-place upgraded PDC offline to rebuild it and use the second and third freshly-built 2003 DCs to handle services? Our expert ... Continue Reading
One admin wants to know if he can run DCPROMO on a Windows Server 2003 machine while the root domain is on Windows 2000. Continue Reading
A new admin's Active Directory is in utter chaos. Here's what our expert suggests. Continue Reading