The process is called ripping a CD. You need software to do it, such as Apple's iTunes, MusicMatch or RealPlayer (there are tons of them, including many free ones). When you rip a CD it converts the files into mp3 files at a certain bit rate or quality. I recommend at least 128kbps for good quality, and 192kbps is better but the files are larger.
Check out http://www.burnworld.com/
for ripping software.
The opposite of ripping is burning, where you take mp3 files and "burn" them to a CD so you can listen to them on a regular CD player. A lot of the programs will handle both.