The TGV station is within the airport, though CDG is a big place so it (probably) won't be within walking distance! It is in the middle of Terminal 2, so if you land at either Terminals 1 or 3 you can use the CDGVAL Light Rail to travel to the station.
Is it easier than taking the shuttle bus? A fair amount of people say Yes, I personally think No!! The train journey itself takes just 10 minutes, but they don't run as frequently as the shuttle, so you could end up with a long wait at the station. Also the shuttle bus is practically a door to door service, whereas the train option may require a shuttle service between terminals, and then from the station to your hotel. Depends on your circumstances though - but I certainly wouldn't consider it with young children and/or lots of luggage!!
For more info, have a look at
this thread, which you can also find in the Very Useful Information sticky at the top of the page.