You need to connect your turntable to you PC by using a phono (red/white connector) to 3.5mm jack which plugs into the 'line in' on your PC. The software I used was dbPoweramp from click here to convert the tracks to mp3s.
You can then burn them onto a CD, assuming you have a CR writer in your PC. I don't so I just transferred the mp3s straight onto my mp3 player.
Remember that the converting will be in real time.