On my 2006 Mazda3, the buttons that control the FM/AM, CD, SAT and such, shows "Media", what is this Media button for? Is this to hook up a MP3 Player? how I do that? where is the connector? I can not find any?

 

I have a jack inside my arm rest well.

 

On 2007 and newer models the MEDIA button toggles the ACI (Auxiliary Console Input) which Shipo mentioned. On '06 models there is no ACI, so stock it does nothing. The '06 MEDIA button does the same thing as the '04-'05 TAPE/MD button, namely it will toggle to another input source which you can install. The options that it will control are the OEM tape deck, mini disk player, and the phatbox hard drive mp3 player.