Cygwin (Windows)
Cygwin is a way to get a UNIX-like command line environment on Windows. You can use it to get tools like CVS. There is a videocast on Installing Cygwin on Windows XP and a general page on using Cygwin in the developement tools section of the handbook.
Cygwin uses a "net installer" so you first go to www.cygwin.com, download the setup.exe and run that. You will be presented with a wizard which walks you through the installation process. During the package selection, look for the CVS package and select it for installation. Follow the rest of the Cygwin installation instructions.
If you already have Cygwin installed but don't have CVS the process is basically the same: use the setup.exe file and within the wizard choose to add CVS to your environment.
From that point, you simply start Cygwin and are using a shell environment where you can run the CVS commands as documented in much of the handbook like the CVS Quickstart Guide.
