JSI Tip 3626. How do I install RRAS, IE, Option Pack, and Proxy on a Windows NT 4.0 Server?

Microsoft has a Knowledge Base article entitled Coexistence of RRAS, Internet Explorer, Option Pack, and Proxy, which provides step-by-step instructions for setting up:

Windows NT 4.0 Service Pack 6 
Routing and Remote Access Service (RRAS) 
Internet Explorer 5 and Internet Tools 
Windows NT Server 4.0 Option Pack 
Windows NT Services for UNIX Add-On Pack 
Proxy Server 2.0 
Proxy Server 2.0 Service Pack 1

The article also discuss the proper order of installation.