Just to be clear, Patrick, since you say you are new to things, do you really mean to use CVS? It’s been replaced in general use in the IT community first by SVN (Subversion), then a few years later GIT. It’s just not clear if you’re really wanting to use CVS intentionally or merely seeking something as your first source code control, and found that.
But as you have found, support for CVS (as for SVN or GIT) is indeed something you “add” to “your workbench”, in that CFBuilder is based on Eclipse, and you would seek to use Eclipse plugins to add support for any source code control mechanism. There are indeed many such plugins for each source code control platform (everyone thinks theirs is the better way).
As such, you really ought to direct your question to the maker of the plugin. It’s not really a question about CF Builder, per se.
Does that make sense? (And to your question, while I don’t use CVS, my recollection is that it knows nothing of web servers, so no, you would not use localhost there. You would be pointing it to where your repository would be created, on disk. But really, I don’t claim to know anything more.)