You can put drush_multi in a number of places:
- In a .drush folder in your HOME folder.
- Along with one of your existing modules. If your command is related to an existing module, this is the preferred option.
- In a folder specified with the include option.
- In /path/to/drush/commands (not a "Smart Thing to Do", but it would work).
Change / cd to one of that places above and type the following command to get the latest Version (HEAD) from cvs:
cvs -z6 -d:pserver:anonymous:email@example.com:/cvs/drupal-contrib checkout -d drush_multi-HEAD contributions/modules/drush_multi/