It depends on what sort of CD player you have. The pc output is going to be a 3.5mm mini-stereo plug from the Line Out and the CD player will either be the same mini-stereo plug, or RCA/Phono plugs (red and white). You can easily tell on the CD player input.
You can get a mini-stereo plug splitter or splitter cable to attach to the pc output to maintain signal to your pc speakers. I use a splitter cable for speakers and headphones.