Microsoft Knowledge Base Article 310150 contains the following summary:

This step-by-step article describes how to filter ISA Server Web Proxy cache entries. The ISA Server 2000 Web Proxy service provides forward and reverse caching of Web objects that are requested by ISA Server clients. Web Proxy clients take advantage of the Web cache directly. SecureNAT and Firewall clients can also utilize the Web Proxy cache through the HTTP Redirector Application Filter.

You can control content that is stored in the Web cache by creating Web Routing Rules. The Web Routing Rules can be configured to not cache objects from servers, domains, or even specific pages. The Routing Rule will allow access to Web objects while it prevents the objects from being placed in the cache.

If you want to filter all external or internal sites or all destinations, you do not need to create a Destination Set to support the Routing Rule.