How do I enter Canadian tax info from US form 1042-S and record captial gains from cashing in stock options?

I can't give you a specific answer because I'm not a tax accountant, so you should seek advice from a tax professional with experience relevant to your situation. This could be a complicated situation. That being said, one place you could start is the Canada Revenue Agency's statement on investment income, which contains this paragraph:

Interest, foreign interest and dividend income, foreign income, foreign non-business income, and certain other income are all amounts you report on your return. They are usually shown on the following slips: T5, T3, T5013, T5013A

To avoid double taxation, Canada and the US almost certainly have a foreign tax treaty that ensures you are only taxed in your country of residence. I'm assuming you're a resident of Canada.

Also, this page states that:

If you received foreign interest or dividend income, you have to report it in Canadian dollars. Use the Bank of Canada exchange rate that was in effect on the day you received the income. If you received the income at different times during the year, use the average annual exchange rate.

You should consult a tax professional. I'm not a tax professional, let alone one who specializes in the Canadian tax system. A professional is the only one you should trust to answer your question with 100% accuracy.