I agree with previous posters' opinions - it's difficult to do if you require quality output. To do it right you're effectively re-mastering your record - not the easiest of jobs. The steps involved in doing this are as follows :-
1. connect record player to digital/audio conversion device e.g. soundcard
note that you will have to ensure that the record player has had riaa equalisation - you may need to use a phono pre-amp if the deck doesn't already do this.
2. use audio/sampling software to record the analog signal presented to the sound card. When you record the sound, you're actually converting the continuous analogue input into lots of little bits - this is called sampling. Windows has a tool called soundrecord which will do this, but there are lots of better options - ones I've used are wave repair, goldwave and Cooledit. Most sound editor software does this. You will need to choose a sample rate for the analog input - 44.1Khz is cd quality, 48 is DAT quality etc, but watch your dac device - my cheapo usb soundblaster card sampled everything in 48Khz, so sampling for standard cd audio at 44.1 meant that the signal was resampled - loss of sound quality.
3. When you do the sampling you could choose to start and stop recording at the end of each song resulting in a number of song audio files (.wav) or you could have one large audio file for the whole album. Some of the sound editors allow you to break up a larger audio file into bits based on the gaps between songs - e.g. waverepair. Others allow you to produce a cue file which can be used by cd burning software to place gaps at points during the burn.
4. Now you've got one or more audio files which may or may not need cleaning up. If you listen to your digitised audio, you might be surprised by the sound quality - hiss, crackles and pop! (tapes are much worse than records) There could also be gaps in the audio, e.g. when you changed sides, cued the needle etc. If you can't stand all the hiss etc. you will need to use sound processing software e.g. cooledit, goldwave to remove it - this is a complex process which will not be very well covered by their manuals - a lot of experimentation, a/b testing and browsing of the internet will be required to do this well. Mind you, as any kind of sound processing involves changing or destroying parts of the original signal, its quite common for the sampled audio to be burned as is on cd. It won't sound like a cd, but then it isn't really, is it?! Think of cd re-issues of pre - 1960's classical recordings and you're closer to the mark. I have done this for records and tapes that had sentimental value, but the quality of the audio is usually more palatable if processed.
5. OK, now your audio is cleaned up, it should be burnt to cd. Most pc's ship with their own cd burning software so just follow the usually simple instructions. It is easiest to split a large .wav file of a whole album into smaller songs - very few cd burning tools support cue files.
For more info, a good resource to start with is :-
http://www.delback.co.uk/lp-cdr.htm