There are a number of possibilities. You will, I'm afraid, probably have to talk to your IT department.
There is a flavour of firewall authentication called NTLM
that Cabal doesn't support. Its a Microsoft proprietary thing that
is only supported by Internet Explorer (whats a little embrace and
extend between friends?).
As also suggested, it may be that your firewall is blocking
gzip files, or it may even be looking inside them and seeing
executable code. You can tell if its this by trying to download a
single package with your web browser: if the content is being
blocked then you will get a message saying so, and can talk to your
IT department about unblocking it.
Alternatively you can do what I did: download the package descriptions and entire archive of latest versions from home, take it to work on a zip drive, and configure it as a local repository for Cabal Install. Sorry, but its been a while and I can't remember exactly how, but you do need both files.