Mayve try via SVN instead, I'm sure the guys here will be able to help you with your cvs issue, I was having a similar problem, and tried the SVN route it worked fine
http://www.jmonkeyengine.com/wiki/doku.php?id=setting_up_eclipse_to_build_jme_2&s[]=svn
the SVN URL
svn checkout http://jmonkeyengine.googlecode.com/svn/trunk/
Thanks for your answer !
I've only deleted jme project and restarded the "check out as " today and this time it work !
if you download via cvs, you will get jme version 1, i would recommend the current jme2 version from google code (svn).
http://www.jmonkeyengine.com/wiki/doku.php?id=download