To checkout a new CVS respository:
1. cvs -d:pserver:cvs@cvs.transgaming.org:/cvsroot login
2. When prompted for the password enter "cvs"
3. cvs -z3 -d:pserver:cvs@cvs.transgaming.org:/cvsroot co winex
Look in the winex directory for a README or INSTALL file which should tell you how to build.
The alternative is wine, which has always worked better for me than winex.
http://www.winehq.org