When BMW introduced the AUX input feature (from 2002 on select vehicles) they did it in a rather odd fashion. They added the feature to the BM radio. Added extra wiring that runs from the BM radio and terminates to a connector behind the NAV screen ... but then to actually get the feature, you have to get your dealer (or yourself) to install an additional cable that connects from the behind the screen connector to where you want to mount the aux audio jack ... say your glovebox.

That said, if your vehicle doesn't have the above cable run you can still purchase cable #82110149390 (USA part #, UK part # might be different) and connect to Pins 3, 4 and 10 on the black 12 pin BM54 radio connector. You could leave your mp3 player in the trunk or just get a regular audio cable extension to run into the cabin.

Radio Black 12 pin X13598
Pin 1 Yellow/White Tape Right Positive
Pin 2 Yellow Tape Right Negative
Pin 3 Left Connection for AUX input Positive
Pin 4 Right Connection for AUX input Positive
Pin 5 Blue/White Nav / TV Audio Positive
Pin 6 (White/Black) Phone Audio Positive
Pin 7 Black Tape Left Positive
Pin 8 Brown Tape Left Negative
Pin 9 Not used
Pin 10 AUX Input Ground
Pin 11 Blue/Black Nav / TV Audio Negative
Pin 12 (Brown/Black) Phone Audio Negative