Current shipping CVS version (as far as I know) does not support proxy servers.
CVS 1.12.13 does support being able to use a proxy server for doing checkouts
via the pserver protocol. This would be very useful for those of us who have to
work inside a firewalled environment that requires us to use proxy servers.
Please consider upgrading the package to CVS 1.12.13 for the FC6 release.
Please check the current CVS package in FC6, it should support proxy (you have
to set the HTTP_PROXY env. variable). see cvs-1.11.21-proxy.patch