which version of WinGate is this? Or is this message coming from the client?
WinGate doesn't generate such a message, and any such message sent from the FTP server may not be displayed in the browser either depending on WinGate version.
Could it be the way you present credentials to the FTP server?
IE only supports one mechanism I know of for FTP username and auth when going through an HTTP proxy, and that's by including the user:pass in the URL, like
ftp://user:pass@ftpserver/It's pretty lame, but we have no control over that.
WinGate 6.5.3 allows other browsers (such as FF and chrome) to be prompted for user/pass when they hit a site, if the FTP site denies anonymous access, WinGate sends back a HTTP 401 to the client prompting for credentials which it can then use to access the FTP server.
it also supports HTTP PUT to an FTP server so you can upload files.