You'll need a card reader with a CF card slot if your computer doesn't have dedicated CF slot. I bought a cheap one from Argos that does the job. Windows media player can convert your CDs to MP3 format if you need some free software that's (fairly) easy to use. I personally use the Nero software that came with my CD burner, or EAC (exact audio copier) is another option.
In that pic is a CF card (top) a MMC (MultiMedia Card) and an SD (Secure Digital) card - essentially the same thing as MMC....
Most headunits with card slots are for SD/MMC cards
Eitherway, once you've made sure what type of card you need, a simple USB card reader will do, as Barok said. Plug it into the USB port, stick card in it, it'll open a new window, just drag and drop (or copy n paste) whatever files you want to it - presto!