When you want to record music on your MP3 player, you have to use a computer in between.
Use the sound card in the computer, to connect the CD player, or even better, put a CD in the CD / DVD player / burner of the PC. Then you need a program to extract the music from the CD to the PC in MP3 format. You can download the program for free here:
Audacity Free Audio Editor and Recorder
Once the music is on the PC you can add it to your MP3 player, by connecting the player.
Before you connect a MP3 player, you have to install a program so it can communicate with the computer. The software should be on a disk that came with the MP3 player, or you can download it from the website the MP3 players manufacturer.