The development of conversational agents to interact with patients and deliver clinical advice has attracted the interest of many researchers, particularly in light of the COVID-19 pandemic.The training of an end-to-end neural based dialog system, on the other hand, is hampered by a lack of multi-turn medical dialog corpus.We make the very first attempt to release a highquality multi-turn Medical Dialog dataset relating to Covid-19 disease named CDialog, with over 1K conversations collected from the online medical counselling websites.We annotate each utterance of the conversation with seven different categories of medical entities, including diseases, symptoms, medical tests, medical history, remedies, medications and other aspects as additional labels.Finally, we propose a novel neural medical dialog system based on the CDialog dataset to advance future research on developing automated medical dialog systems.We use pre-trained language models for dialogue generation, incorporating annotated medical entities, to generate a virtual doctor's response that addresses the patient's query.Experimental results show that the proposed dialog models perform comparably better when supplemented with entity information and hence can improve the response quality.