OK the FM Modulator should be available from any decent car audio dealer but they are also on ebay quite a lot. The one I have is a Panasonic, I think initially designed to add one of their CD changers to a car.
The Antenna adapter cables I got from Circuit City. You will need these because the Cayenne uses Euro Style mini connectors and FM Modulators I have seen are all full size. So its a Euro > US antenna adapter set (2).
My base and saddle mount for the Cayenne is by Kuda (www.kuda-phonebase.com). They are great and should hook you up quickly, if you have a MK III you only need a phone base not the multi-purpose PDA base.
I also use a Monster charger for the iPod. I do not charge and play because there is pickup which ruins the sound.
Misc bits you will need, small single pole switch for turning the FM Modulator on and off, it may come with it.
Use drivers side fuse panel spare position 48 for power, this is switched with the ignition. Ground is any available bolt as usual.