MP3 Novice - how do I get songs onto my player with Windows Media Player?

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Hi, I just got myself an MP3 Player, and I'm hopeless. Does anyone know what I need to do to get songs from audio CDs onto it? I suppose I need to convert them into MP3 files first, and I was told I could use Windows Media Player for that. If that is true, what do I need to do once I've opened that software to make that conversion? I couldn't find anything. Thanks.