Hooking into Power for a 2003 X5??

[Texas Ag]

I'll first apologize if this is redudant, but I couldn't find my answer through search.

My question: If I have a 3 wire power that I need to plug into a power source, where do I do this so that is is "fused"? Picutures woudl be great also. I'm fairly technically inclined, but don't want to fry my radio or dvd system by hooking it up wrong.

Why do I ask...I have purchased a used Audiovox DVD Headrest system. I had to purchase the power unit and fm modulator from audiovox, but I now have them. Through this forum (thanks!) I figured out how to get the radio out and get to the antenna (only to learn that the fm modulator is a US antenna and I need the European/US converter). Anwyay, I just want to hook up the power for now, but I'm not sure where to connect to power. Thanks.