I can not find it in the Cygwin setup program (it is in my opinion
difficult to find things there).
Yes, it is difficult. The place to search is
http://cygwin.com/packages/
You can type in an executable name, and it returns the package
containing it.
There should be a pointer to that page in the Cygwin install tool, or
a version of the search engine there!
I mount the Cygwin file systems in Unix line ending mode, so CVS does
no translation for me (which is what I want, and what the manual
says). I have at times mounted the Cygwin file systems in DOS line
ending mode, and then CVS output DOS line endings.