by Ken Task.
If am reading that error correctly, cvs command without a directory designator (the -d [directory] below) will attempt to create a 'moodle' directory. Are you running cvs as root user? If on Ubuntu, sudo.
cvs -z3 -d:pserver:anonymous@us.cvs.moodle.org:/cvsroot/moodle co -P -d [directory] -r MOODLE_19_STABLE moodle
CVS updates/installation days are numbered, any reason you cannot use git?
http://docs.moodle.org/23/en/Git_for_Administrators
'spirit of sharing', Ken