You need to install Pike before you can install Caudium. The version of Pike is different depending on the Caudium version you want to install. For Caudium 1.0, use Pike 7.0; for Caudium 1.2, use Pike 7.2. You can find some Pike packages for the most popular systems: Debian GNU/Linux (Woody/Sid), FreeBSD, Solaris.
To take a CVS source snapshot of Pike 7.2+, you will need to have a preinstalled Pike (any version) on your system in order to compile the fresh CVS checkout. This is because the CVS sources need to pre-process certain parts of the sources with some special Pike scripts. Downloading a tarball from the RIS site (always outdated) will free you from the requirement of having the Pike installed before compiling the CVS snapshot.
For more information, see the quick start guide at http://caudium.net/.