Transferring is fairly straightforward provided you have the right equipment. If you have one of the older PlayStations that have the RCA stereo phono jacks on the back, you can get a Mini plug to RCA plugs Y adapter from your retailer, electronics, or audio store and the proper adapters to connect the stereo outputs from the PlayStation to the Line in on the PC's sound card and video jack into your computer's input (Check beforehand to ensure that your Video Card has one)
If you have one of the newer PlayStations without all the jacks on the back, you will have to use a SCART lead with separate phono jacks. To transfer it onto CD you will need a CD Writer and associated software that will allow you to transfer the music on to your PC then to the CD.