If it's an audio CD, you need to "rip" it - you can do this with Windows Media Player or iTunes. Either of those will automatically import the files then. If you use another program for playback, you'll have to import the files manually (unless it background watches the folder). If you use iTunes, make sure the settings are set to MP3 recording.
If you have a disc with MP3s already on it (burned disc, generally), you can just open it in a file browser, select the files and copy them. Then you can go to your media manager and import the file.