To get started with Android/CyanogenMod, you'll need to get familiar with Git and Repo.
To initialize your local repository using the CyanogenMod trees, use a command like this:
repo init -u git://github.com/CyanoSpaceMod/android.git -b ics
Then to sync up:
repo sync
Please see the CyanogenMod Wiki for building instructions.
For more information on this Github Organization and how it is structured, please read the wiki article