To install do:

./configure
make
make install

Do ./configure --help for configure options. 
 In particular:

   --enable-http-cache or --enable-local-cache may allow you to cache
   ftp requests. See the FAQ for details.

   --enable-transparent-data --enable-libiptc compiles in support for
   transparently proxying the data connection too. See
   README.transdata for details.

   if you are going to run chrooted you may want to use  --enable-static
   to simplify things. You may be able to get away without.

Edit the config file (frox.conf). Many of these settings are
security orientated, and I suggest you use them. They are documented
in the comments.

Your kernel will need to be compiled with transparent proxying, and
you need to enable ip forwarding with
echo 1 >> /proc/sys/net/ipv4/ip_forward

The proxy can then listen on any port (eg. 2121). You will need to
redirect ftp traffic to it, which means you need to either run it on
your firewall and issue the command:
   ipchains -A input -p tcp -s LOCALNET -d 0/0 21 -j REDIRECT 2121
or for kernel 2.4
   iptables -t nat -A PREROUTING -p tcp -s LOCALNET --dport 21 -j REDIRECT --to 2121

or run it on another machine and have your firewall forward packets to
it transparently.

Finally run it with frox, or frox -f conffile

To debug any problems you can recompile with debugging on, and change
MaxForks to 0 in the config file. It will not detatch, and give you a
transcript of what it's doing (in nice colours!) on stderr.