It is not particularly useful unless your system is gateway between an internal network and the internet - if you are just looking for a way to cache FTP content on a single system, it is better to use Squid instead.
For Frox to work properly, a firewall rule must be created to redirect all routed traffic on port 21 to the port Frox listens on. If you are running Linux and using the Linux Firewall module to manage your firewall, this module can setup this rule for you easily.