This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
Most version control systems are client/server systems. That is because version control goes hand-in-hand with team-based software development. So, in most - but not all - cases of version control, you need a version control server. CVS is one such system. You can run the server on a shared machine, or on your own local machine (it's not very big).
Actually, although CVS is built in, it's no longer as popular as it used to be, since CVS has a few limitations - you cannot archive empty directories, and CVS is totally incapable of tracking renamed files or deleted directories. So for the most part, people use Subversion (svn) these days. Subversion is a lot like CVS, but knows about the items I just mentioned. There are 2 different plugins to choose from for svn, but you do have to download and install one of them yourself, since they're not integrated into Eclipse. And, of course, you also would need to download and install the Subversion server.
There are other choices as well. Some open-source software projects (such as Xen) use Mercurial. Linus Torvalds developed Git, which is what the master source code for the Linux operating system uses.
And, of course, there are still a few people who use commercial source-code management systems such as SourceSafe and PVCS.
An IDE is no substitute for an Intelligent Developer.
I'll echo Tim's comments, I wouldn't bother setting up CVS. But if you don't want to set up a Subversion server, Git or Mercurial would be better. They maintain their repository on your PC in a hidden directory right next to the code you are working on. I usually use git for my toy and experimental projects, where I want to keep track of versions of code, because then I don't need access to a Subversion server.