You will see errors related to "Schannel" in the Windows Event Viewer. As per Citrix Document ID: CTX172208, both the client and server must be capable of 128-bit encryption in order to connect through Citrix Secure Gateway.
To Resolve: Edit
1. Install Windows 2000 Service Pack 2 on the Citrix Secure Gateway server, and ensure that the client machine has either Windows 2000 Service Pack 2 or the High Encryption Pack for Windows.