I couldn't get a web connection at the client without the proxy setting. What could I be missing? The client gateway is set to the address of the inside adapter of the ISA server. And, since it does work with the proxy setting, I know that the protocol and site/content rules do allow access. If it makes a difference, the clients are Win98.
Open all sites (which may be your default site/content rule, confirm that in the console), and open all protocols, to all network clients.
If you are using a dial-up connection, and you have a SNAT client, here's a secret: right click the routing node in the left pane and then choose the dial-up connection as the primary route for the firewall.