Open up a sound recording program. Windows has one built in called Sound Recorder in the start menu. Click on Start, then click All Programs, Accessories, Entertainment and Sound Recorder.
Get a cord to attach your analog player to the mini plug mic jack in your computer. If your are using a tape deck, you can probably use a mini-to-mini cord such as the one in the first link below. If you are using a stereo with RCA outputs, you will have to use an RCA-to-mini adapter.
Play the sound at a comfortable level. Then turn it off. Connect one end in to the socket in your computer with a small picture of a microphone. Connect the other into the headphone output or RCA out of your sound player.
Press record on the sound program. Then press play on the player.
Listen to the sound. If it sounds loud and distorted, lower the volume on the player and try again. If it sounds too quiet with your computer at normal volume, raise the volume on your player and try again.
When you are satisfied with the sound quality, save the file. You now have a digital sound file.