First check you volume setting on the Zumo you have 3. Goto "Menu" select "Volume", "Master Volume", "Mixer", you will see Master, Navigation, Media make sure all 3 are set to 100%.
The audio output from the GPS is now connected to the Navigation Interface Module (NIM). Disconnect it and connect the male from the splitter to the female coming from the GPS (the splitter has 1 male and 2 female connectors). Connect 1 of the female connectors on the splitter to the NIM, which you just disconnected. Connect the 3.5mm male to male cable between the remaining female connector on the splitter and the Auxiliary Input on the radio. Play a song and adjust the volume on the bike to your liking. The radio has to be in the AUX mode to hear. When a turn prompt is present the GPS will mute the MP3 music and you should hear the turn prompt, the music will resume when it left off when the turn prompt is finished. When the radio is in the AUX mode the NIM becomes redundant as every thing (MP3, Turn Prompts, Phone Calls) comes directly from the GPS and the GPS controls which has priority.
Make sure to use electrical tape and secure all the connections so the do not come apart.
jim@hdbomm.com