sorry, but probably I am missing something...
if you are using the proxy, you don't need the rule on the fw, otherwise you bypass it
... moreover, can you try with another browser? as far as I remember, IE does not allow to select the port you are using for, eg FTP ... can you try with mozilla firefox or something similar? if you set there the efw ip as proxy and 21 for the port of FTP proxy, does it work?
as said, I feel that I am missing something