Yes and No. First off Proxy means on behalf of.
So a proxy server is sort of a go between for your client PC's and the Internet. It does service requests on behalf of the clients. Once the server go's to for example a web page it can then cache that page so the next user will get the cached copy of the web page off the proxy server rather than the server re retrieving it.
ISA is capable of being both a proxy server and Firewall etc.
Then there is Linux which would use something like Squid proxy , and probably a million others which will take too long to list. Even though you running a Windows environment Linux is still an option, especially since winbind.
e.g.I am running all Windows Servers with Exchange a Linux proxy and Firewall and Send Mail.
