Authentication Problems

Microsoft has addressed the most common question about ISA Server. "Why won't my ________ app go through ISA?" Because it won't authenticate and our SBS installations of ISA are setup to require authentication to get access to the Internet. If someone or something is using your Internet access, you want to know who and from where.

Check out this TechNet article:

Troubleshooting Client Authentication on Access Rules in ISA Server 2004