I am posting this as it wasn't easy to find: CVS from behind a corporate firewall.
In the end it was quite easy. Example - Instead of
:pserver:anonymous@public.kitware.com:/cvsroot/CableSwig
write
:pserver;proxy=your.corporate.proxy.com;proxyport=8080:anonymous@public.kitware.com:/cvsroot/CableSwig
Also, the file .cvsroot in your $HOME directory must exist.