Windows comes with a built-in sound recorder (Start > All Programs > Accessories > Sound Recorder) but it's rather primitive.
Most people prefer to use Audacity (which is a zillion times better):
http://www.audacityteam.org/download/windows/
(NB: First install Audacity and then install the LAME MP3 Encoder. That's because licensing restrictions prevent Audacity being distributed with the ability to produce MP3 file built into it; so you need to add that facility on. Note that, once you've got a sound file in Audacity, you need to go to File > Export, and NOT File > Save, in order to end up with an MP3 file)
Audacity can seem a little daunting to some people at first but there's plenty of help available on the internet (including lots of Youtube videos).