The last way to use an MP3 player in a car is to use an FM transmitter. These devices broadcast a very weak FM signal that your head unit can pick up. Due to the strict regulation of radio broadcasting in most countries, these signals can't be picked up very far away from the transmitting device.
Most FM transmitters plug into an MP3 player just like a cassette adapter or the auxiliary input on a head unit. These devices then modulate the audio signal and broadcast it over a specific frequency. The best sound quality is typically achieved by selecting a frequency that doesn't already have a powerful radio station assigned to it.
Other FM transmitters use Bluetooth technology. These devices can be paired to MP3 players that also include Bluetooth functionality. That creates a completely wireless situation since the music is transferred to the device via Bluetooth, and the transmitter then sends it on to the head unit via an FM broadcast.