Visit the Customer Support Contact page for Rhapsody at http:/service.real.com/contact/help.html?product=rhapsody, then click the link under the Cancel Membership heading to send your request.
Lots of people have trouble with this. I stick to downloading songs from Amazon.com, a lot of what they have is free believe it or not. You can check what songs are free there...
Click on one of the emails. Scroll down to the bottom of the email and you'll probably see a URL that reads "Click here to unsubscribe from these emails" or something like that.