These instructions are for cars that have an FM radio, but otherwise limited options for listening to music. I wanted to invisibly incorporate an mp3 player that plays through my car's speakers, which I did using a hidden FM modulator that connects to an mp3 player small enough to fit in the ashtray.
MP3 player that fits in your ashtray
A wired FM modulator
A cable with dual-RCA to 3.5mm stereo plug
Whatever is needed to remove your radio and install the FM modulator (probably a screwdriver, wire cutter/strippers, electrical tape)
Step 1: Install an FM Modulator
I installed an FM modulator that hides behind the control panel and connects directly to the antenna and power, as opposed to one that hangs down from the cigarette lighter. I just followed the installation instructions that came with it. FM modulators of this type have an on-off switch for the antenna, which I put in a discreet place below the steering wheel.
My 97 Ford Escort is weird, and required a special tool made from a coathanger to remove the radio. Since all cars are different, I won't discuss how to install the modulator. Generally speaking, though, you'll probably need a screwdriver, some wire cutters/strippers, and electrical tape. It may or may not be easy.