Depending on your setup and software you have, you may already have the necessary software and programs to do it. If not, there are freeware programs that can help.
Go to this site & give it a read. It will also point you to some freeware for this task.
Converting Vinyl Records to CD
There may be a topic covering this in the tutorials section, but I'm not sure
Tutorials - Windows 7 Forums
MP3 is the most widely used format, you can choose the quality level, anywhere from 96 to 300+. The higher the quality, the bigger the file, but the better the sound.
Most CD burner programs convert on the fly (ie., drag the MP3 into the program and it automatically converts it to WAV format before burning).
Hope this helped you out some