You can get specific things that plug into the back of your head unit & enable you to connect 'properly' to your MP3 player.
The ones I looked at a while back were called something like 'Denison ICE Link'.
Or you can get an FM tuner that plugs into your MP3 player & puts out a radio signal at a certain frequency that you then tune your radio to. You get mixed results with these. I bought quite an expensive one that was supposed to have lots of features so the signal stayed clear & there were plenty of options for different frequencies etc. but it was rubbish. Unusably rubbish. I ended up taking it back.
But a friend has a cheap Griffin one that he keeps on one frequency & it is always fine – works really well.
I think to some extent it depends on the radio/aerial in your car as well as the FM tuner that you get.