I guess there are some issues using the VPN client behind a Proxy. I have comes across the case where the VPN client is behind a ISA proxy. In that case, to make the setup work, you need to do the following:
1) On the MS ISA server, you need to follow the steps shown in the document at http://www.isaserver.org/articles/IPSec_Passthrough.html to pass IPSec traffic.
2) The client needs to be configured for NAT-T and the Concentrator should be able to accept NAT-T connections.
Doing this should make you setup work just fine.