Suppose that you want to apply advanced options to the whole project. You should select all project files and perform the operation "Get latest version" specifying advanced options for it. Below you can find a description how to do it in different IDEs. If you want to apply advanced options to some special parts of the project (to subprojects or files), find a way to select them only.
[MS VS.NET]
Select solution. Choose File\Source Control\Get latest. Mind that VS.NET has so-called "silent" analog of each SCC operation (for instance, the silent analog of 'Get latest' is 'Get latest recursive'). The difference is that it is impossible to specify log message and choose advanced options for these operations. Do not select these items, since they are not suitable for this operation. Then press the button "options".
[MS VS]
To select all files press CTRL-A in File. Then choose Project\Source Control\Get latest version. Then press the button "advanced".
[MS VB]
Choose Tools\Pushok CVS proxy\Get Latest Version. Select all files and press the button "advanced".