Forget about using your pmp (Zen or otherwise) in the car. Pick up a head unit that plays from SD. I gor a VR3 off of Ebay and I love it. It can play SD, USB or Aux. I used to use the AUX jack for playing music from my phone in another car but I gave it up immediately once I realized how convenient just having the large SD (up to 4MB) card in the dash all the time was.
http://cgi.ebay.com/ws/eBayISAPI.dll...MEWA:IT&ih=014

This one here has bluetooth as well, I have an older model that does not include that.

And by the way I don't have an iPhone, and never will.