In order to do EPICS development you need to have EPICS Base available. There are many ways to do this, or perhaps there is already one available on your system. It can be done through Eclipse.
To build base in Eclipse, you need to get a version of base through CVS or another means, and make a project in Eclipse. There is a tutorial on Using CVS to Check Out and Build Base. To build it, you need to have the C/C++ Development Tools installed and set up properly. This includes setting the environment variables HOST_ARCH or EPICS_HOST_ARCH. Then it should be a matter of just right clicking the project in the C/C++ Project view, and choosing Build Project or Rebuild Project.
The EPICS Pages are a good place to get more information on EPICS, as well as to download EPICS Base and view the documentation.