That's strange. I just tried it from home and the CALL EXTERNAL Web Service dialog showed a list of methods. A quick Google search returned the following:
"A typical error that you will encounter is error 407 Proxy Authentication Required this means that the authentication has been denied because the user has no valid user account in the domain or that the password has been entered incorrectly." Microsoft ISA Troubleshooting guide.
But you'd think that if it worked from your browser it would work from the toolset as well.