I've just installed this now. It is quite good - not as slick as the CVS support in Eclipse 3.0, but quite handy, nonetheless. Recommended.
With TortoiseCVS you can directly check out modules, update, commit and see differences by right clicking on files and folders within Explorer. You can see the state of a file with overlays on top of the normal icons within Explorer. It even works from within the file open dialog."