possibly you haven't got a working copy of the repository yet? it isn't very clear from the docs, but the idea is to set up your repository where packages will be added to, and checkout a working copy on, e.g., your hard disk. then, when you configure your VC settings, use the pathname to your working copy for the "local project path".
then, the idea is to create packages in EA and configure them individually to be under VC. (you do not put your .EAP file under VC, just the packages that are within it.)
note that if you create nested packages under VC, be sure to checkout a parent package before a child package (and to checkin in reverse order). otherwise, EA gets confused about the status of the child package.
note also that if you want to create packages under subdirectories in the repository, first time round you will have to manually "cvs add" the subdirectory yourself because EA neglects to do it. And you will have to manually specify the path when configuring the XMI filename because the ... browse popup is broken.
as you can tell, we've had plenty of experience of this! but we don't know when these things will be fixed, we're not really told anything.