[e:\blender\cvs]set CVSROOT=:pserver:anonymous@217.77.141.135:/cvs

[e:\blender\cvs]cvs login
Logging in to :pserver:anonymous@217.77.141.135:2401/cvs
CVS password:
cvs [login aborted]: connect to 217.77.141.135(217.77.141.135):2401 failed: Conn
ection refused

[e:\blender\cvs]

Could this be a firewall issue on my end?

If you have a firewall on your end, it could be the problem.
What did you enter for a password for the login in?