Thanks, that was the pointer I needed to find http://sial.org/howto/perl/life-with-cpan/, and this worked:
env FTP_PASSIVE=1 cpan -i Net::FTP
I never would have guessed this myself, since the actual module installation was fine, only the mailrc failed to load (and cpan never really seemed to care).
How do I set the mirror? I don't find a Config.pm in my ~/.cpan.