you can get FM modulators which plug through the aerial cable, with a pass through, these plug into the headphone plug on your MP3 player and you just tune your head unit in to the frequency on the box as though its a radio station
VEBA ones in stock at any Motor World, £24.99, you can get cheaper ones on Ebay but the quality might not be as good
you can get ones like your talking about but they are more expensive, around £60-£120 depending on if you get a cradle with the cabling