When you say "convert," do you mean how do you sync it to your computer so you can put MP3s onto it, or are you asking how to convert CDs to MP3s so that they can go onto the player?
If it's the first, you need to make sure you install the proper driver so that your computer will recognize the MP3 player. You can get the Windows driver here:
http://www.mediafire.com/?uyu4jnf2vqt
If you meant the second part, you will need some kind of CD-ripping software. iTunes will do this, as will WinAmp, and many, many others. You can look up user favorite CD-ripping software on a trustworthy site like C-Net.
http://download.cnet.com/windows/