If you have a set-top CD burner, then it's easy. Run your audio out to the audio in on your CD burner, push play on the DVR and record on the burner..
If you plan to do it on the computer, you have to run your audio cables to your line-in or mic jack on your audio card, with the appropriate adaptors. You then have to obtain some sort of audio recording software, (try download.com) tell it to record, and save it as an MP3.