Select Remote | Checkout Module.

Fill in:

• Enter the module name and path on the server
• Local folder to checkout to

In the example above I am checking out a project named DDConnectionBroker that resides inside of another CVS project directory named DevDaily. The resulting files (my sandbox) will be placed in a directory on my PC named C:\DDProjects.

I could have just checked out the name DevDaily, but that command would grab every directory inside of DevDaily and downloaded all of them, and that's not what I wanted here -- I just wanted the DDConnectionBroker  project.
Notes:
You may be prompted for your password if you haven't already logged in.
Under certain versions of Windows you may need to hit [F5] to refresh your WinCVS display.
 

With a few button clicks to open the folders, your WinCVS window will look like this:

Congratulations! You have checked out the project and you're now ready to start working with it.