If your head unit supports AUX input, you might need to buy an adapter. On my Pioneer, the AUX input is what would normally be used with a cd-changer (IP-Bus). Instead, you buy an over-inflated ($30) RCA to IP-Bus adapter which allows the mp3 player to connect.
EDIT:
http://store.kenwoodusa.com/product.asp?sku=2224795