Lol, it's been like 10 years since I've used a CD, so this info may be outdated, but here goes.
Windows Vista has Windows media player, which should be able to encode CDs to MP3s. Alternatively, iTunes is a free application that can do it as well, at least it used to. Encode your CDs to a high bit rate MP3 files, (at least 192 or 256), and be careful not to use Media Player's WMA format or iTunes AAC format. These may be default, so you may want to check it beforehand.
Link to instructions: http://windows.microsoft.com/en-us/w...m-cd=windows-7
As far as which player to get, if you have a smartphone, that's all you need. Alternatively, you can get a Sandisk Sansa, or any other MP3 player on amazon with good reviews.