I have an AUX button on my '05, and with a PIE adaptor I connect my XM radio to it. On my '02 with the 6 CD changer I also have a PIE adaptor. This one works with the CD button. The first push on the CD plays CDs, the second push activates the aux input. I can connect my MP3 player or XM to it.
The purpose of the PIE is to provide a way to connect RCA jacks to the Ford radio.
I got my PIE adaptors from
www.ancoauto.com. On the left side of the page click on the Ford, Lincoln, Mercury. It will show you the PIE adaptors.