I wanted to connect an XM satellite radio to my stock Ford radio without using an FM modulator.
I first did a lot of internet research (salespeople in the local car stereo stores were useless on the topic). I eventually found a gadget specfic to the Ford radio that pretends to be a Ford CD changer, and plugs into the back of our radio. I determined that if my Ford radio had an external 20-pin CD changer input connector on the back (which mine did despite the fact that it also has an internal CD player) what I needed to buy was a "PAC AAI-FRD3 Ford Auxiliary Audio Input (1998-2003)". (Yes, this still worked with our 2004 radio.)
The PAC converter has switchable 3 inputs, which we now use for: our XM radio, an iPod, and our notebook computer (more MP3s). We can hit the Ford radio's "CD" button to toggle between internal CD player (which still works), and also switch among the 3 new audio sources.
I bought mine on eBay, but they're for sale here: http://carjamz.com. Try googling "AAIFRD3" or "PAC AAI-FRD3".
Here are some photos of the installation....
To remove your Ford radio, there's a special tool to dislodge the radio, but you can also make your own out of a coat hanger. The coat hanger trick worked for me, but I had to jiggle it around a bit. You can Google "coat hanger ford radio", but here's one page on the topic: http://www.i-hacked.com/content/view/213/45/
More info about our Sportsmobile is here...