You can probably solve your problem by using passive FTP. Before you run the CPAN shell just put:

LWP and Net::FTP should then be able to work around your firewall. You can stick that environment variable in your bashrc as well or if you're using CPAN in a script you should be able to set $ENV{FTP_PASSIVE} = 1 to do the same thing.

HTH

update fixed a typo

update2 Maybe I should start reading the posts first, I've heard its great. Anyway as dmorgo kindly pointed out, my solution won't do authentication for the proxy, he has the correct answer below.