To get a SourceForge project through CVS, you need a CVS client. If you are using Windows and need a CVS client, you should have a look at Cygwin, which gives you "the power of Unix" under Windows. This includes fancy command line tools like cvs. If you prefer a GUI, you can use WinCVS.
To get a project through anonymous CVS type:
cvs -d:pserver:firstname.lastname@example.org:/cvsroot/project login
If you are asked for a password for anonymous, you can just press return.
Remember to write the actual project name instead of project. The module name is often the same as the project name. On the SourceForge homepage you can also browse each project's CVS repository online, and you will also find instructions on how to get the source code from CVS there.