Hey There Dave ... You most probably need a Stereo 1/8 inch "mini" calble ... It should have the same mini end on both sides ... they are very inexpensive and you should be able to find one at the local radio shack ...
If you have a sound card with a mini input, this would be the best way to go ... if not, you may use the PCs built-in microphone input ... however, you will have to tweak your volume to get it to sound decent, as the mic input is much more prone to distortion than the "line-in" of a sound card ...
All of this is assuming you are speaking of a portable CD Player ... If you need to hook up a standard-sized player, you will need a "RCA" (White and Red Plugs) to "Mini" (As described earlier ... same plug used by most headphones) ... this cable can also be found at Radio Shack or other electronics store ... Try to get one of decent length (12 feet +)so your PC dosen't have to sit atop your stereo {^.^}