I think this is the most thorough thread on the subject:
viewtopic.php?f=4&t=6790
An easy way out is to just buy an aftermarket radio with MP3 capability, but I bet you want to keep the stock radio if you can. Depending on which radio you have, there are a couple of options, in order of decreasing sound quality. The first option is the best.
If your radio has a button and input for a CD changer, you can use that. This applies for all of the Clarion and JBL stereo options, I don't know about the others. In essence, you buy an adapter box which gives you an auxiliary input by faking a CD changer. Unless your car was originally optioned with a CD changer, you will need someone with Peugeot Planet 2000 to enable the CD changer functionality, the setting is part of the MFD settings in PP2000. This is the option I chose, and I've been very satisfied with it.
If your radio does not have the button and input for a CD changer, you can use an FM modulator. This plugs in between the aerial and the plug on the back of the radio and gives you an auxiliary input. It ties up a frequency (usually of your own choice) on your radio dial, whenever you want to listen to the aux input, you just tune to that channel.
Thirdly, if you don't want to pull anything apart, you can get FM modulators that are actually radio transmitters. Just plug it in your player, tune in on the radio and start listening. The downside is that the sound quality is usually worse, and because you're trying to transmit radio waves through the metal body of the car, you may have interference issues and such. A friend of mine is very satisfied with this solution, btw.