You need to install the cvs (Concurrent Version System) client. Its probably packaged in an rpm located on one of the Red Hat install disks.
Alternatively, you can get it here:
http://freshmeat.net/projects/cvs/?topic_id=53,52
Note that at the download page, there are many files available. I did not see any rpms for Red Hat 9, so I would suggest downloading a source tarball and compiliing it yourself. The name of the file I would recommend trying is:
cvs-1.11.5.tar.gz
This is a tar.gz file, or tarball, analogous to a zip file in the Windows world. In order to decompress the tarball and extract its contents, I suggest using the command line. The command is:
tar zxvf cvs-1.11.5.tar.gz
You'll need to navigate (via the cd command) to the directory in which you've saved the tarball. If you save it to your home directory, then you shouldn't have to cd anywhere.
After decompressing the file, you'll find there is a new directory, with the same name as the orginal file, but without the .tar.gz suffix. cd into that directory. Usually there is a readme file that gives further instructions on how to install a package. To view it on the command line:
less README
(press q to quit when done reading)
Generally, the proceedure to install a package from source is as follows:
./configure
make
su
(enter root password when prompted, and press return)
make install
If you need to do anything additional or different to install or configure the package, it should be noted in the README file. After all steps of the process exit without errors, you've successfully installed cvs. You should be able to continue with your installation of WineX at that point.
(BTW, I suggest looking on the RH disks before trying the above method. It will probably be easier).