Connect the turntable's out jack to the stereo's in jack and the stereo's three out jacks (red, white and black) to the headphone or mini stereo jack on your computer or sound card.
Open Windows Mixer on your computer by double clicking the volume icon in your Windows system tray. Go to the "Options" menu, then "Properties." Change the selector from "Playback" to "Recording" and make sure the "Line In" or "Analog" box is checked.
Open your audio-recording software. Likely, a program came with your sound card; if not, there are free or inexpensive options online.
Play your vinyl record and hit "Record" button on your audio-recording software. There should be a progress bar of some sort telling you how much you've recorded and how much space you have. Play with your levels and adjusters to see what kind of sound you get. You may want to burn a test CD or two to find out what levels work best.
Save your audio file using "Save As." Find the folder you want to save (usually a folder in "My Music" with the name of the artist or album) and choose a format (MP3 or WAV are best).
Open "My Computer" and navigate to the folder that holds the recordings.
Insert a blank CD-R or CD-RW into your CD burner. Open your CD-burning program and choose "Create New CD." Copy and paste the files from the folder found in Step 5. Reorder as you choose, then hit "Burn CD."