Assuming you got the lazarus-0.9b_20040102-win32_binary.exe from sourceforge, it is meant as a quick and dirty installer (and a good one, because it gives you the corresponding fpc 1.0.11 compiler and sources for win32).
If you want to update lazarus from cvs, have to do a checkout of the source first. That means you have to get a (fresh) copy from the cvs server. See "Source from CVS" how you can do that. I don't recommend you put these sources in the same directory as the ones from the sourceforge binary (You could delete them before getting your cvs copy).
After that you can enter the lazarus directory and type
make
After a few minutes, you have a up to date lazarus executable with fresh bug ;-).
Be source to set the fpc source directory in the environment options to c:\pp\source (or whereever are your fpc sources).