Using iPhone 3G with Aux input - Help Needed

[X5 Meister]

Does anyone know what the trick is to use an iPhone 3G with the aux input? I just want to listen to the music from the iPhone (via the ipod function) and I was told all I had to do was connect the aux input to the dock connector (via an adapter as shown IPHONE LINE OUT DOCK WITH STEREO JACK(BLACK COLOR) - eBay (item 300330194448 end time Dec-05-10 19:00:04 PST)) and the iPhone would recognize it and send the signal out. However it just plays the music on the iPhone speaker. Is there a software setting that must be activated somehow? It seems to work perfectly with an iPod by the way.