The export command sets the CVSROOT enviroment variable. So once set, you do not need the -d option at all, the cvs(1) command will use CVSROOT if the variable is defined.
The default connection type is ssh(1), so your first time you connect you will see the RSA fingerprint of the server, which is 49:67:9a:46:62:8a:3f:4e:b3:63:ca:d6:41:29:2a:2f, as described in
www.openbsd.org/anoncvs.html. You are prompted to confirm that this is the intended host.
As for the actual errors you received, please try a different mirror.