I have an NT4 and a Linux machine, and I tried to use NT's proxy server too. I had a lot of trouble :-( I've no doubt this is at least partly because of my extremely average networking knowledge, but there seem to be other problems too.
I did eventually get it working. I think I used the default proxy configuration (or possibly just disabled all authorisations). I setup the Linux ("client"
machine to use port 80 to connect to the NT proxy server.
I found however that if a connection attempt was made through the proxy server when the NT machine wasn't connected to the Internet, the Linux client would fail with a (possibly misleading?) error message. Not unreasonable I supposed. Unfortunately, after that had happened once, the Linux machine could never, ever connect through the proxy, even if the NT machine was online.
Re-booting seemed to "re-enable" the proxy. I also found that if I stopped and restarted the web publishing service (Control Panel, Services) it would have the same effect.
All very confusing.
The good news is that I don't need to worry about this anymore, because I've switched to using SetiGate, which I think is extremely excellent:
Although it doesn't yet include functions to monitor SETI processes on other machines, SetiGate is being actively developed, and I wouldn't be surprised to see this and other features included soon :-)