Add a status LED to an existing device
Have a look at the LM124 comparator.







simulate this circuit &ndash; Schematic created using CircuitLab

Figure 1. The LM124 can compare inputs down to 0 V. They feature an open-collector output suitable for driving the LED.

How it works:


The comparator, as the name suggests, switches its output based on the comparison of its inputs. If IN+ > IN- output switches high. If IN+ &lt; IN- output switches low.
We'll assume that you can tolerate a 0.1 V drop on your power supply and that your MP3 device draws > 50 mA when on. 
We need to set R1 to a value that will generate > 0.1 V at 50 mA. \$ R1 = \frac {V}{I} = \frac {0.1}{0.05} = 2 \; \Omega \$. 2.2 Ω is the nearest standard value above 2 and will generate a slightly higher voltage which will make the system more reliable.
R2 and R3 create a voltage divider to hold IN+ at about 0.1 V.
C1 holds this voltage steady in case voltage fluctuates with volume of the player.
When the device is turned on IN- voltage will be greater than IN+, the output will switch low and D1 will light.


Measure the current drawn by your device in standby and recalculate for R1.

The LM124 is available in 8-pin 0.1" DIL chip which you will be able to solder or insert in a DIL socket.

Welcome to the world of electronics. This is an interesting little project. If you take my approach you'll read through the datasheet, learn how to pronounce the words, study the graphs, wonder what it all means but start to figure it out from context and studying other circuits and application notes.