I am also having the same problem. After spending some time on the phone with Bloomberg tech support, they sent me some information, but wouldn't answer my questions about configuring ISA. This is from the PDF they sent me (sorry about the formatting, it was originally in a table):
Protocol Setup There are two ways of connecting the Bloomberg Professional Service through a Microsoft Internet & Security Server, one is for each client workstation to have the Microsoft Firewall Client installed on them, and the other is for each client to connect as a SecureNAT client.
Information on using the Microsoft Firewall Client appears below; for connecting as SecureNAT clients, refer to the SecureNAT section of this document.
For connections using a Bloomberg supplied router, refer to the protocols listed below:
RE: Bloomberg API Blocked - 19.Jul.2004 3:49:00 PM
Damn... still can't remember my password...
Well, I am assuming that you are running (most of the time) the Bloomberg off one of their leased lines. I think ISA server is not the prob here... you probably have to respecify which API servers you are connecting to. I think when you connect via the internet, you specify api1.bloomberg.net, and api2.bloomberg.net... now those won't work if you are connecting via their leased lines. When connecting via their router, you have to reconfigure the api servers to a numerical IP address (usually tools are located in C:\blp\API\... just remember to bbstop everything first).