CVS is commonly used by open source project to provide access to their source code. Here is a simple way how you can connect to CVS server from behind a proxy server.

cvs -d:pserver;proxy=proxyhost;proxyport=8080:username@somedomain.tld:/somerepository
Notes:
1. Change proxyhost to hostname or ip address of your proxy server
2. Change proxyport to port of your proxy server
3. username and somedomain.tld (ex. taragana.com) are provided by your CVS administrator

For example here is how I checkout Shoal GMS (open source java jxta based fail-safe clustering) source code on Windows machine from behind our proxy server:
cvs -d:pserver;proxy=172.16.0.9;proxyport=6588:guest@cvs.dev.java.net:/cvs login
cvs -d:pserver;proxy=172.16.0.9;proxyport=6588:guest@cvs.dev.java.net:/cvs co shoal/gms