The Aux port will work right away, right from the factory, just press "Media" on the stereo. The Aux port is a 1/8" stereo jack (just like a headphone cable), hidden in the center armrest/console, that will take any source, but the most likely purposes most people use it for are iPods or other MP3 players. There is also an iPod-specific integration kit that Mazda sells, which then lets you plug into the dock connector on the iPod. This allows the ipod to charge while you are listening to it, and the controls on the steering wheel and stereo allow (limited) control of the ipod. If you get the iPod integration kit, and don't get the switchbox, the Aux port will not work anymore. The addition of the switchbox allows both the iPod integration kit and the Aux port to continue to work. If you get Sirius radio, the Aux port will be disabled until you get the switchbox; then you have Sirius and Aux. You can't get both the iPod integration kit and Sirius; those are incompatible options.
(there is evidently an un-supported hack referred to on the thread link below that allows both, but it evidently only works on CX-9's without navigation). The switchbox is buried away somewhere, and its presence allows buttons that are already on the radio anyway (Media and Sat) to do what they are supposed to. There isn't another visible switchbox or button that you need to play with. It's somewhat surprising that Mazda didn't just include the functionality already, and instead engineered this add-on kludge to make the stereo work the way it should have anyway.
In our CX-9, we have Sirius, we have the switchbox, and we use the Aux port to play our iPod.
check out this thread:
click here for more information.