If it's anything like my previous car, a 2003 Pontiac Vibe, that "AUX" button is for the OEM CD changer that you could order, and there's no OEM solution for adding an AUX input for iPods, MP3 players, etc.
However, I had a stereo place install an adapter that used that button with a standard 3.5mm headphone jack. It was called "AUX2CAR". I think it was made by a company called Peripheral Technologies or something like that. It worked perfect and there was no background noise or loss of quality like there is for FM modulators. They also make one called "IPOD2CAR" that is supposed to allow you to also control your iPod through the stereo but I didn't have an iPod at the time, so I can't say how well that worked.
Just google "AUX2CAR" or "IPOD2CAR" and you should be able to find it.