Sorry I dont use MS ICS really. I'm using Wingate Internet connection sharing. Pero true that it's not that good compared to other open source proxy software. I havent tried the Win 2003 nga proxy though.
In Wingate, you can have proxies or simply ICS like service(or simply NAT router). If I dont enable the WWW proxy, I cant filter search like "chat", "porn", etc.
It's that it will check files in 2 days, cache everything and purge. Is it too long?
Maybe this helps -
http://www.petri.co.il/adsl_home_network_config.htm