Spinster's got it down.
In most programs you will have to go to wave files first, and then convert them to MP3's. Adaptec's Easy CD Creator ver. 4 will let you extract from CD's directly to MP3, but I'm not aware of any programs that will go directly from Vinyl to MP3.
Another choice for recording software is Spin Doctor (this comes as part of the Adaptac Easy CD Deluxe edition). Spin Doctor also has some tools for cleaning up scratches, clicks, etc.).
You can get the Y-cord (RCA to 1/8" phone) at any Radio Shack.