The options available to you depend on where your music is stored. If all your files come from CDs which you have ripped using Windows Media Player, you will usually find all your music is stored in the My Music folder, found within My Documents. In this situation, the quickest option is to simply use iTunes to import the files. You can do this by going to the File Menu, then choosing the Add Folder to Menu option.
iTunes will ask if you want to convert any files that are in the Windows Media Audio format as these will not play in iTunes. Bear in mind that this will take a few seconds per track, which can really add up if you have a large collection. The process is also quite memory-intensive, which can cause problems if you are running over programs at the same time. For these reasons, it’s best to import and convert large libraries of music overnight.
If your music collection is less organized, you can simply choose an entire drive rather than a particular folder to import, though this will naturally take longer to scan through. (Don’t worry, iTunes will only import media files.) If you wind up having to do this, you should consider using the consolidation feature once you’ve finished. It’s located under the Library option in the File menu and will move all of your music files into the iTunes Music folder on your disc. Again, this is a task best performed overnight.