There are a number of possibilities. I'm afraid you may have to talk to your IT department.
There is colossal NTLM firewall authentication that Cabal does not support. This is Microsoft's proprietary thing, which is only supported by Internet Explorer (what does it cover a little and extend between friends?).
As suggested, your firewall may be blocking gzip, or it may even look at them and see executable code. You can tell if this is trying to download one package with your web browser: if the content is blocked, then you will receive a message about it and you can talk with your IT department about unlocking.
Alternatively, you can do what I did: download the package descriptions and the entire archive of the latest versions from home, take it to work on a zip disk and configure it as a local repository for Cabal Install. Sorry, but this has been a while and I don’t remember exactly how to do this, but you need both files.