Setting up a CVS repository is very easy. First create a directory where you want your CVS repository to be located. For example create a folder /cvsroot. Change you directory to /cvsroot and run the following command.
# cvs -d /cvsroot/ init
Obviously, you should have CVS installed. This command will initialize your CVS repository. Remember not to run this command after adding projects/modules, otherwise it will wipe out all your files. After initializing you can add projects to it. Thats it! your CVS repository is ready. Go and add your projects :)