You don't need a CD changer. All you need is a vehicle that CAN have one... I'm positive the 04 has the capability. Check your trunk, left side, there's should be a wall in the carpet that you can pull down. That's where the CD changer goes should you ever buy one.
As for the AUX hookups that require the CD changer port, you simply take out your radio unit, unplug the CD changer wiring from the radio (which runs to the trunk), and then plug in the AUX unit. Figure out where to put everything behind the radio, and where to run the wire out. That's the hardest part. Plugging the unit in is easy.
I did mine myself with a blitzsafe unit from ebay (70 bucks). However, I got a ipod interface, which won't work with a Zune. Blitzsafe does sell AUX options though. Check them out, and more importantly email them, cause it's different for car make/model/year.
To take your radio unit out, you need a set of 4 radio keys. Go on ebay. Couple bucks.
This is an easy DIY project. I did it myself and have ZERO experience with modding a car's auido set up. The wires can be easily fed out through the passenger side... or you can do what I did and make a hole in the spacer above the radio. That way you have no wiring dangling anywhere.
Then get yourself a couple of proclips (google)... hehe... expensive... but sleek.