It's really simple, especially if you're just trying to power on headunits. It honestly takes pretty much no modding at all.
First, take a good look at the power supply and familiarize yourself with the wires coming from it. The two sets that are of interest are the 4 corded molex cables. These have two black wires, a rid wire, and a yellow wire. All you need to be concerned about is the yellow and the black wire (either one or both). This is your +12v and ground.
Here is a picture of what I'm talking about:
http://www.viaarena.com/images/articles/pctipsrom%20040.jpg
Next, notice the main bus line. This is the big cable mass that ends in a large plastic piece that connects to the motherboard. Somewhere in this mass of wires, you will need to locate a green wire and a black wire. Take a paper clip or even a staple and short the green cable to ground. I use a staple to short mine and it works fine and keeps the power supply usable in case I need it for a PC.
The red circled cable is the one I'm talking about and the blue line is showing you HOW to short not WHERE to short. I can't see a green cable in this picture so I just drew it at random.
Once you do that, the power supply will turn on when you flip the switch and have it plugged in.
To hook up a CD player, hook up the Yellow cable from the power supply to the red and yellow cables from the headunit wiring harness. Then hook the two grounds up and the headunit will turn on when the power supply turns on.
To connect the headunit, I recommend using a 4-pin molex adapter so that you don't have to splice any wires from the power supply.
Something like this:
http://www.silverpcs.com/images/cables_18_ysplitter.jpg
Wulf was faster, I was more in depth. He wins.