1. Install our patched cvs version (see http://www.lincvs.org,
   Download section/CVS for download).
   Since cvs 1.12.7, proxy support has been introduced in the
   official cvs version.

2. Open Config/Settings/CVS Details and add something
   like the following line:
   
     my.cvstarget.server::my.proxy.server:proxyport

   That's all.
   
