I had a terrible time finding any documentation for how to interface the Rogue uMP3 player with an Arduino. The libraries on the website are out of date and don't work with the Arduino IDE 1.0x.
After much reading, I wrote a simple sketch that sends HEX commands to the uMP3 player using serial and softwareSerial.
Are you using Arduino IDE 1.0? If so, try updating to 1.6.5 which I am running on. Works great! I have heard 1.6.6 has a couple bugs, some of which can be extremely annoying.