If you what to connect your iPhone/USB stick/HDD to play music then you will need to get AMI (Audi Music Interface) retrofitted, or dension gateway 500 These can be fitted by Audi dealers & retrofit company's for around £400. Note that you will need to have a current version of the mmi software or the AMI to work, the dension gateway will work on most versions of the mmi software.
(mmi software)
If you have the colour mmi then my guess is your mmi software is out of date, and needs the latest firmware update.
Here is a eBay link to what looks like the genuine update disks
AUDI MMI HIGH Firmware update 3CDs "5570" A6, A8, Q7 | eBay UK
Don't bother trying to find copied version of the disks on the Internet you could end up with you entire mmi system turned in a brick.
Also some users have turned the phone module into a brick even with the genuine disk, the update fails and then you cannot redo the firmware update.
Used modules can be purchased from eBay.de for around 150 euro.
Also note in some cases the update can enable component protection which only an Audi dealer can remove for a small charge.
2. The big lump will be the AMP
3. Audi dealers or look on ebay.