I did a test of ISA server 2000 a while ago, from comparison with Squid (a linux based proxy) point of view. The main advatange for a windows network was the ability to grant deny access based on user as well as host.

http://www.microsoft.com/isaserver/

Have a look under the technical resources.

btw you haven't mentioned what you wanted to use it for, if you just have a home network I would consider it overkill.