If the stereo has no aux input (like mine) you could
run a wire from the antenna of the Zune transmitter and splice it into the car's antenna wire via an
extension. I might try this with a 1st gen transmitter. I've never actually done this, so if anyone has anything to add, please do.
Also, I was thinking (uh-oh) and it occurred to me that the Zune pinout has no "FM out," making the only output be audio. So maybe a direct audio out is possible by tapping into the transmitter's audio-to-FM connection.