Well, sorry maybe I should details more my configuration.
I want to use my ISA Server 2006 only as Web Proxy, as I have only one Single Network so I know there is no notion of External Network, I have a Firewall Access Rule that allow HTTP, HTTPS, FTP From Internal to Internal, for users member of one of my Active Directory Group.
The Internal Network address, is set 0.0.0.1 to 22.214.171.124, 126.96.36.199 to 188.8.131.52, 240.0.0.0 to 255.255.255.254 and The web chaining is set to redirecting them to a upstream server.
My clients use Internet Explorer, with the proxyname 8080 in the LAN settings, we don't use automatic configuration script. I know that I can use a bypass proxy in the LAN Settings but if it's possible (It was with ISA 2000) I prefer to define this kind of rule inside ISA, for exemple I know that All my Web servers are located in the IP network 184.108.40.206 to 220.127.116.11.
In order to Direct Access your Web Servers, you need to configure them in the Direct Access configuration of the default Internal Network. Then configure the clients to use the Autoconfiguration script, or use autodiscovery through WPAD.