1. Connect the walkman up
2. Open Audacity
3. File - save project as (name of album would be good)
4. Select 'line in' instead of mic
5. Press the record button on Audacity and the play button on the walkman.
Just do a 5 minute test first.
If you download 'lame' you can then convert your audicty recordings to mp3.
I guess by connect up - you mean connect the earphone socket to the line in on the PC using a male-male 2.5mm cord (available from all good electrical shops! ;-)