First off you need software. Easy CD Deluxe from Adaptec will allow you to do this (I think the specific program within the package is called Spin Doctor).
You plug your cassette player into the "line in" jacks on your sound card. If you only have one "line in", you will need to get an adapter from Radio Shack to combine the two RCA plugs from your cassette player into the single input on your sound card. Use the Spin Doctor software (or somewthing equivalent) to record from the tape to a wave file (.wav). (You might be able to also record using the Sound Recorder program built into Windows. I'm not sure, never used it. Probably worth a try if you don't own something else.)
Once you have the recorded wave file, now you need a CD burner. I'm assuming you already have one (elsewise why would you be asking this question), you will now use different software to create the CD. Easy CD Deluxe also contains software (Easy CD Creator) for burning CD's from wave files.
Before burning to CD you might want to clean up the wave file somewhat to get rid of any extra silence at the begin/end of the recording, or clicks from turning your recorder on and off. You can do this with audio editing software.