You are not setting a working directory. I'm not sure how Cvs handles a missing working directory, but you should supply it when constructing the $cvs object:

use strict;
use Cvs;

my $cvs = Cvs->new(
        './my_workdir',
        cvsroot => ':pserver:nikhil@appollo:2401:/usr/local/cvs',
        password => 'nikhil'
      ) or die $Cvs::ERROR;
[download]

As the script doesn't output anything, but also doesn't tell you what went wrong, you need to add debugging output everywhere, to determine what goes wrong:

print "CVSROOT is ", $cvs->cvsroot, "\n";
print "Workdir is ", $cvs->working_directory, "\n";
print "Error is ", $cvs->error, "\n";
print "The CVS knows the following modules:\n";
for my $module ($cvs->modules) {
    print "\t$module\n";
};
[download]

You should also run your programs with the -w switch (like perl -w test.pl) so Perl can warn you about problematic code.