Checking out a module is means getting a copy of the current project module into your work area.
Gotoand bring up the screen Checkout Settings screen
Enter the name of the module, you should be given this before hand.
And enter your working directory.
By default a new directory will be created in your working directory. The name of this new directory is equal to the module unless unless you specify a different one.
You only need to Checkout a module once, and you should aim for a non-existant directory so you don't confuse things.
In this example, CVSROOT has already been set. The D:\jurn\existing_project directory will be created by WinCVS.