Firstly you need to create a CVS repository somewhere for yourself. The mechanics of this are not straightforward so this is one I'll leave you to google for yourself.

This is just a complementary to your wonderful response to OP. Can be considered as a prequel to it.
What you need to do is first to create a main database (CVS repository).

[/]$ mkdir cvsroot
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Then set the variable, by putting this into your .bash_profile

CVSROOT=~/cvsroot;
export CVSROOT
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Don't forget to source your .bash_profile.

$ source .bash_profile
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After this follow the instruction provided by monarch above.