You need the original CD, and you need to rip it.
Again, you need the background information. Converting CD data to mp3 is called ripping; you need the CD.
Think of .cda files as hyperlinks which link to the actual songs themselves. If all you have are those files, then you cannot convert it to a mp3.
In order to convert, you need to rip (not copy) a CD. This can be done with any number of programs, the easiest and most common simply being Windows Media Player. Insert CD, click the Rip button, and click start.