If you have a facelift Fiesta ST without the AUX port then you will need to get the audio adapter kit. The FINIS number is 1426121. You will also need to remove your stereo in order to connect it, so you will require some stereo keys - or ask Ford/Halfords to take it out for you.
You will then require a 3.5mm jack male to male lead - Ford do sell these, FINIS 1358534 - however most electrical type stores (i.e. Currys/Comet etc) will stock these.
If you have a pre-face lift Fiesta ST (one with the 3 "sections" of Stereo) then i'm afraid its not possible to connect the AUX lead, as these do not have AUX port on the back of the stereo.
As mentioned *most* 07 plate ST's will come with the AUX port next to the cig lighter, however not all, as mine is an 07 however doesn't have the port (as it was built December 06 but registered March 07 - I believe it was ST's built from Jan-Feb 07 onwards).
You can purchase the parts you need from Ford Parts UK
http://www.fordpartsuk.com/shop/products.php?id=352&
http://www.fordpartsuk.com/shop/products.php?id=382