I had the same issue, and after much investigation this is what I found.
The Audio input on the back is where you will want to plug in from the mp3 player. The catch is that the deck will not turn these "on" until it sees the correct signal from the "BUS CONTROL". This system is called Sony Unilink. (Here is some explanation http://users.ntplx.net/~andrew/sony/unilink/
You can buy a controller from Best Buy for about $50; It will have Audio connections to the deck, just don't use those.
Another option is to purchase an adapter to fake the signal. These go for about $35 on Crutchfield.
I ended up taking the deck back and getting a Kenwood that had better controls for cheaper.