there's another thread "CVS for dummies help" in the Questions forum about building from source.
However, I know you're wanting pre-compiled cvs: you should try to compile this yourself so you do not have to trust someone else (unless it's the developers).
my guess is that your cvs client needs to be configured correctly because firewalls will usually allow client connections that are initiated from the inside to work.
and usually, you configure a cvs client with: CVS_RSH=ssh
...and ssh is standard and usually allowed thru a firewall.
however, with a windows cvs client I don't whether it will provide its own ssh or look for an ssh client that you happened to have installed, so you might have trouble there. [originally posted on jforum.net by ken0]