The way I did it (since I had the same problem) was to use the optical out from my portable mini disc player, and hook it up to the optical in on the back of my PC.
You can then record it as an uncompressed WAV file, which can be converted to mp3 with any number of downloadable programs.
If you don't have an optical in/out, the headphone socket or line out socket should work equally as well with a standard 3.5mm to 3.5mm mini jack wire, plugged into the line in (blue socket) on the back of your computer.