Looking around, I found the CPAN readme. It looks as if your proxy requires a login you'll have to configure your individual services to support that. The example given in the readme is this:

If you can go through your firewall with e.g. lynx, presumably with a 
+command such as

/usr/local/bin/lynx -pscott:tiger

then you would configure CPAN.pm with the command

conf lynx "/usr/local/bin/lynx -pscott:tiger"
[download]

Obviously, you'd have to set up ftp similarly.

Of course, YMMV.

Guildenstern
Negaterd character class uber alles!