When you specify a module name in jCVS, the slash character, '/', is used for the name separator, no matter what operating system you are running the client on. For example, the module name for the jCVS source code is 'ice/java/com/ice/jcvsii'.
If you wish to checkout the entire repository, you can use the module name '.'. HOWEVER, please be sure that you understand what checking out the entire repository implies. For instance, the Giant Java Tree repository checkout requires 20MB of disk space.