cvs can be used in windows, and there are several good visual front-ends for it (
here's a good one), or you can use a commandline interface through cygwin. if you're using it only for yourself, setup should be pretty easy. if you want it on a central server, you'll have to set up a pserver or shell access which can be a pain. if you are using cvs, you should also install cvsweb, which is a very handy tool for browsing the sourcecode. as for locking in cvs, it is almost entirely unnecessary. cvs has great merging capabilities, so if two people are working on the same file, it can merge their differences together very well (having to do a manual merge is very rare).
here's an example of cvsweb and cvs in general in an active codebase
for personal use, you may consider RCS (on which cvs is based), which is meant as a personal code repository. i doubt you'll find gui front-ends for it, though.
i've never tried subversion, but people seem to like it.
visual sourcesafe, on the otherhand, has some major issues with file corruption. since it uses windows filesharing (smb) to mount the repository, it is vulnerable to clients crashing or messing up and corrupting files (which happend alot because vss is not the most stable app). again, for one user it may be okay, but it does not scale well (past 5 or 6 developers, it is a bad idea...).