+1 If you bought some after market cable you may need to build in the components required to make it work. There's a thread on how to build your own that details it. It is plug and play so as long as it's plugged into the right pins on the head unit the aux option should simply appear.
Just get one of these.... this includes the capacitors and resistors already connected, just plug & go... (this cable will enable AUX on your head unit)