Eclipse has good support for CVS. Information on using it can be found in the Eplipse help under the Workbench User Guide. There is nothing especially special about using it for EPICS. You can also look at the tutorial on Using CVS to Check Out and Build Base.
On Windows, EPICS does not build well when the files have CR-LF endings. To prevent this happening, go to Window | Preferences | Team | CVS and select the Files and Folders tab. Uncheck Convert text files to use platform line ending. Unfortunately this seems to be a global setting and may not be what you want for other CVS repositories. (You also should be using UNIX versions of the Cygwin tools necessary for the build.)
If you want to use external CVS as well as the one in Eclipse, you might want to go to Window | Preferences | CVS | External connection method and choose Use another connection method to connect, with "extssh" as the Connection type. Then when you create a new repository in the Team perspective, using New Repository Location, fill out the boxes as appropriate and choose "ext" as the Connection type. This causes the CVS/Root file as checked out to have ":ext:" rather than ":extssh:", which the external CVS will probably handle better. The repository name will start with ":ext:" in the CVS Repositories view. Eclipse will still use extssh internally. None of this is applicable if your CVS uses pserver or something else rather than ext.
When you check out base, it is suggested you turn off Project | Build Automatically and also configure your CDT preferences first. CDT works better in general if you turn off Project | Build Automatically. Unfortunately JDT works better the other way.
You will probably want to check out projects as Check out as a project, configured using the New project Wizard, then select a C/C++ Standard Make Project and configure it appropriately as in C/C++ Setup.