But proxy 2.0 is hardly considered a firewall. Its packet filtering capability is very primitive. The worst thing is Proxy 2.0 does not support more than 2 NIC, making it impossible to implement DMZ. Hopefully things will change with ISA.
If you just want to setup a firewall on windows, WinRoute is highly recommended. If you have basic firewall concept, it should be very easy to setup. The good thing is that WinRoute is very secure (it is an icsa-certified firewall package).
I think the only advantage of ISA over other firewall software is its integration with active directory which makes it easier to control user right. I've never played with ISA so I could be wrong.