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Can you describe the problem in more detail? Usually the following sequence works:
- Switch on the deck
- Select channel to 'Aux', using controls that allow you to switch between cd/ tape/ tuner/ aux etc.
- Plug in your external device into the Aux port
- Play your device!
I checked the manual of 4800 and it says it has 2 aux connections
One which uses stereo mini plug and another IP-BUS-RCA connector.
I guess the one which uses stereo mini plug would be useful for you as you would be connecting your Sony MP3 player by its headphone out.
So maybe its just that you have to switch between AUX1 and AUX2?
If you are using the stero mini plug there is no reason why it should not play.