The answer to your question might depend upon how much you want to add to what's in your cv.
If you're confident that your cv contains all of the important information, your covering letter might simply say something like this:
"Dear Mr Bloggs,
I wish to apply the post of head cook and bottle-washer. I attach my cv and I look forward to hearing from you"
Under those circumstances, it would be pointless to attach the covering letter to your email as a separate document. (You can just type those few words in the body of the email).
But if you want to write a detailed covering letter, explaining exactly why you're the best person for the job, it would make sense to create a separate Word document and to attach it to the email, which could then read:
"Dear Mr Bloggs,
I wish to apply the post of head cook and bottle-washer. I attach my cv, together with a covering letter, and I look forward to hearing from you"
Chris