Microsoft has reprinted on Technet Chapter 9 - Coexistence with Microsoft Proxy Server from the text MCSE: Implementing and Supporting Microsoft Proxy Server 2.0 by Kostya Ryvkin, Dave Houde, and Tim Hoffman. The chapter covers several coexistence issues arising from using proxy server. Quoting from the first paragraph

We will see how to integrate a Proxy Server computer with a Remote Access Server (RAS) using Point-to-Point Tunneling Protocol (PPTP). We will discuss different scenarios where PPTP enabled computers coexist with Proxy Server. If your network uses Exchange for messaging and you are not sure if it will still work after you install Proxy Server, this chapter will give you the answer. Here also we will point out different scenarios to allow you to accomplish this goal. We will also look at how Proxy Server works with SQL Server, FTP servers, and Telnet servers. You will learn what a "demilitarized zone" is (in the Information Technology context) and will be able to plan sophisticated network configurations with Proxy Server in a mixed environment

Microsoft reprinting a chapter on Technet says all that needs to be said