I agree with contrex. If all you want is to hear music, spending $15-$20 at your local Walmart is the easiest (and even cheapest) solution.
Building your own amplifier requires a little experience with electronics. This is a great project if you are interested in learning.
Here is a webpage I found with a specific design for a
do-it-yourself amplifier As you can see it involves putting together parts and using tools which can be a bit difficult if you have never done it before.
I would suggest you find someone with experience to help you. There is nothing here that is dangerous, but the technique is difficult and if you are starting out, you don't want to frustrate yourself.
\
Also as any of us hackers know, you need to understand the risk to your mp3 player. I burned out my share of stuff in my day and it goes with the territory.