My colleague Vanitha Prabhakaran has written a fantastic article on Troubleshooting Direct Push to resolve issues if you are having trouble getting it working. 

http://blogs.technet.com/exchange/archive/2006/04/03/424028.aspx 

The major issue I've seen customers encounter is when they are using ISA 2000 rather than ISA 2004 and the client OPTIONS commands are not being passed.   This article resolves those issues:

http://support.microsoft.com/?ID=304340