ok - this is partially dependant on your stereo.
To connect to your mp3 player, you will almost defintely need a 3.5mm Stereo plug (jack).
On the other end, you would most likely need 2 x RCA connections (phono connections)
see this link:
http://cgi.ebay.co.uk/3-5MM-STEREO-TO-2X-RCA-PHONO-AUDIO -LEAD-MALE-MALE-1-2m_W0QQitemZ5806488157QQcategoryZ295QQ rdZ1QQcmdZViewItem
If your stereo does not have this RCA connection (it would be labelled "AUX" or "Line IN") then you may have to make do with a microphone connection if you have one.
If you need to use a microphone socket, then it would most likely be another stereo connector. (either 3.5mm or 6.25mm)
Out of preference, always try to use a LINE IN or an AUX as these have predefined levels and are less likely to distort.
Microphone inputs are also dependant on the volume and equaliser on your mp3 player.