There are 60 CD's hidden in Stilwater, you need to find all of them in the same game. So you should start a new game before collecting the CD's, otherwise you will not know which ones you have in your normal play. You can get them while in car so don't bother stopping your engine unless the CD is only reachable on foot.
The quickest way to find all the 60 CD's is to use this map (and/or the videos in the solution below)
[DEAD LINK]www.msxbox-world.com/features/Saints-Row/stilwater.php Just click on "CD" on the right panel and here you go
You can click each CD icon to display a screenshot of the location of the CD and a detailed map. Personaly, I find it easier to use this link: [DEAD LINK]www.msxbox-world.com/features/Saints-Row/info.php?id=31, then to change the number in the url (until 90), rather than clicking all CD's on the map.
Edit (3 years later...)
Unfortunately msxbox-world seems to be closed so you can't use its interactive map anymore. I didn't find another interactive map so if you're still trying to get this achievement use this map
and you can find the description of each CD here http://www.xbox360achievements.org/forum/showthread.php?t=87...
but sorry without screenshots to help like with the old map... You should download the map and edit it with paint to check the CDs you collected if you dont want to have to go back to all the locations because you're missing just one CD.