Getting the entire Wine source tree via CVS is pretty slow, especially compared to getting Wine from an FTP mirror near you. It's possible to convert a Wine tarball to a CVS sandbox, just like you would get by checking out the entire source via CVS. Here's how to do it:
Get the latest Wine snapshot: Wine-YYMMDD.tar.gz
Get wine-cvsdirs-YYMMDD.tar.gz from ftp://ftp.winehq.com/pub/wine
Use an FTP client rather than a web browser, and be sure to turn off passive mode, otherwise the fetch will hang.
e.g.:
ftp ftp.winehq.com
cd pub/wine
passive off
ls
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Untar them on top of each other:
tar xzf Wine-YYYYMMDD.tar.gz
mv wine-YYYYMMDD wine
tar xzf wine-cvsdirs-YYYYMMDD.tar.gz
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Update from main tree: login as above, then do
cd wine
cvs update -PAd
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You will now be completely up to date.