the easiest way to do this (without going to the expense of hard wiring) is to have an audio FM transmitter coupled to your mp3 player & tuned to a suitable FM frequency on your car radio.
If it's an iPod you could try the 'iTrip' which is a small transmitter which plugs into the iPod -select a frequency and tune the radio to this and store it in the car radio memory...Costs about �20-25