A number of people have had problems with connecting to FTP sites using Active Mode when behind the ISA Firewall. The problem is mostly seen when the Firewall client is installed, the Enable folder view for FTP sites is enabled in Internet Explorer and the Use Passive FTP checkbox is not selected in Internet Explorer.
The problem doesn't happen if you use the built in FTP client (ftp.exe) that comes with Windows or when the Firewall client isn't installed and the machine is configured as a SecureNAT client.
Microsoft has a hotfix with a file version dated 9/20/2004, so I suspect that if you installed ISA 2004 SP2, you'll have the fix, since my file version is dated 1/18/2006.
For more details, check out the KB article at http://support.microsoft.com/kb/884580/en-us