I recently saw an interesting problem install a TFS proxy (in my case it was on an existing TFS 2005 system using Window Server 2003 for the proxy host, but the problem could be seen on any version f TFS). The installation appeared to go fine, and when a Visual Studio client requested files, via the proxy, files appeared in the cache directory, however the client reported it was not using the proxy.
When I tried to look at the proxy statistics using http://localhost:8080/VersionControl/v1.0/proxystatistics.asmx I was shown a standard IE login dialog, not what expected as I was logged in as the administrator. No credentials were found that could get past this dialog.
I started looking a firewall settings, anti virus port blocker, and local loopback settings, but it turned out the problem was far more fundamental. The IIS6 installation was corrupted. When I dropped test files into the proxy server virtual directory I found I the server could render an HTML page but not an .ASP or ASP.Net ones.
So I removed IIS from server, then put it back and on the problems went away. All I can assume is some IIS/.NET installation/patching order issue. I bet it would not have happened with I had started with Server 2003 R2 with .NET already on it.