There is Subversion, which is a lot better and which is what we use.
However, that does not help you, since if you want to check out wxCode, you have to use what the developers at wxCode use.
Many projects use CVS because Sourceforge (the largest open source hoster) did not offer Subversion until a month or so ago, and apart from that, most people are reluctant to change their habits. Most people will rather use something that annoys them every day rather than try something different which might be a bit different from what they are used to. That's human nature...
You can certainly check out individual modules, follow the link I posted above to get the names of the modules from WebCVS. I have done that before, it certainly works.
(It is possible to retrieve individual files, too, but that normally makes no sense.)