Before building LCPhys, setup the environment from your Geant4 installation. At a minimum, the G4INSTALL and G4SYSTEM variables should be set.
cvs -d :pserver:anonymous@cvs.freehep.org:/cvs/lcd co LCPhys cd LCPhys make; make install
With the latest version of LCPhys, the library will be installed into the Geant4 library directory, as the special directory for physics lists has been removed in versions 8.2 and greater.