With Windows you may be able to find a TOSlink cable to transfer the music. If your MD player has an optical out that will work, as long as you have software to read the ATRAC format.
On a mac, or if you only have a headphone jack, you need a male to male stereo minicable, which you can get at radioshack or anywhere. If your computer doesn't have audio in, or only has line-level input, you may need some kind of USB interface to plug the cable into. For macs, the griffin imic is the most popular. You hook up the interface, connect the MD via the headphone jack with the stereo minicable and play your songs into whatever recording software you have on your computer.
Now, this is for the US. I believe that many of the MD models in Asia (if that's where you are) are considerably more talented this way.