First and foremost I would not recommend having anything other than Proxy Server on the machine that is directly connected to the internet. If you do and that machine gets compromised, everything is compromised. Proxy Server can act as a gateway to Exchange with Exchange being on an internal, private subnet (ie Proxy listens on port 25 and routes anything from there to the Exchange server inside the firewall).<br>
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Now secondly, I definately would not count on Proxy Server if you are as concerned with security as it sounds. Zelandakh recommended Checkpoint's Firewall-1 -- yes it is expensive, but it is worth the money. Nothing is completely bulletproof, but we have it and have very few problems with it. Even if you ask Microsoft, if you talk to the right people that is, Proxy is meant as just that, a PRoxy to allow people to get out to the internet - its not a high level firewall. Firewall-1 comes with a VPN client also.<br>
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Microsoft really isn't in the business of protecting your network, their products are designed to allow easier access to the internet -- look at Windows 2000, the install is so dumbed down anyone with half a brain can install it...<br>
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I would definately recommend a third party firewall. I would not use Proxy Server as a firewall. Either Firewall-1 (which is installed on an NT machine, or a deticated router/firewall combination (either Cisco or Ascend - both have good firewalls). Also, I would not put Proxy and Exchange on the same machine - if you still want to use proxy, it can listen and forward all SMTP requests to the Exchange server which can be inside your DMZ - another level of protection.<br>
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Hope this helps a little,<br>
Paul