The Web proxy client doesn’t allow you to authenticate with FTP servers. Even if you see that little log on dialog pop up, it’s not going to work.
What you need to do is:
1. Configure Internet Explorer to enable the Enable folder view for FTP sites in the Advanced tab of the Internet Options dialog box
2. Now, when the browser asks for credentials, enter them this way:
Of course, there’s an easier and more secure way of fixing this problem — install the Firewall client on all your client systems, which is what you should have done in the first place. 😉