Here are several things to try:

1. On the off chance that you have FTP Proxy or FTP through IP/translation and CPAN is using Net::FTP set FTP_PASSIVE=1 environment variable.
2. If you can do http downloads through your browser then you could us wget to download to your .cpan/build directory but then if this works I don't see why LWP doesn't work.

Bit of a shot the dark but might help.

MitD -- Made in the Dark
'My favourite colour appears to be grey.'