Take the Cygwin install guide, and skip any steps that say "Run cygwin" or "Install cygwin"
I mean, you use the same CVS command line, and the all the same commands, you just do them in Linux instead of in Cygwin... See the CrossCompiler wiki page, or use the shell script in the /tools/ folder of the source for setting up the necessary cross compilers since you aren't getting them bundled with Cygwin.