go find a program called EAC - Exact Audio Copy. Set it up according to the tutorial I'm linking to below. Rip your CD's to .wav files, then convert them to lossless (flac is probably most popular now, but ape and shn are also lossless). If you want compression for a portable player with mp3, AAC, etc., that's a whole other ball game. But convert your CD's to flac if you don't want to lose anything.
Well, to make the information overkill complete...
An excellent source for info regarding digital audio/compression (lossy or lossless) is Hydrogenaudio.
Very useful is their knowlegde base (click me), where you can find hints and tips how to install/configure EAC (with LAME, FLAC, or whatever you're up to use). That really helps a lot, because EAC isn't a software which is very easy to use - well, usage itself is a no-brainer when it's configured properly once, but this might be a long way (just look at all the options to configure).