By default, ftp uses port 21 for login, and port 20 for data. If running in PASV compliant, it'll use ports in the temp range (roughly port 1024-5000) for sending data. You need your proxy server to be able to translate that in order to be able to login.
Is your client running in PASV mode? If not, make sure it is, if it is already, try setting it not to be...that might get you in.