First step is to create, if you haven't already, a working directory for your CVS work. For the sake of example will say that it is "D:\users\billybob\cvstemp". Now run JCVS.
If you don't know what module (a module is essentually a subdirectory of a repository) you want to check out, this is a great use of cvsweb. Our cvs web server is located here. You can browse the repositories (we are currently making each project a separate repository) for the modules (subdirectory) that you want. For the purpose of example we'll use the following:
Select the Checkout tab and enter the data as show:
Enter "guest" for the password (as a guest user you will not beable to submit changes directly to the repository but will have to pass you're changes to the person that controls the repository, gaining editing access to a project depends on the project leaders) and select the "Checkout Module" button. After the files are downloaded a project windows will pop up with all the checked files and their revisions. If you go to your temp directory you'll find the files there, you are ready to start working.