Why I need CVSNT installed?

In documentation you say that we need to install CVSNT, but we already have a server, CVS in not running locally on my computer. As I know CVSNT is a Server, why I need it?

You will neeed to install locally CVSNT as a client (not as a server) necessary to us to make the bridge between DW and CVS Server. We use cvs.exe from this package. You can install it in Windows directory or in any directory, just the you will need to add in WINDOWS PATH, when we call it as cvs.exe to get response.
Soon we will release a version with CVSNT inside, we will install it as a client from our own installer. This will fix many questions regarding this. CVSNT can act also as a client, not need to be server.

You can have your server anywhere in the world, and you will connect to server as required (pserver, ssh etc). If you need it, you can use CVSNT also as a server.

where do we change this path setting?

"If you install it in another directory, like C:\CVSNT\ then be sure that this directory is added to path."

Use from Desktop/My Computer, right click, properties and search for Enviroment Variables. Here you need to add as a path.