Sounds like you've been having a real hard time getting the hang of this AV stuff. Not to be an ass, but to most of us it sounds like you're asking us what the "on" button does.
"Aux" is not a type of connection, it's simply a name assigned to a particular connection. It could be anything connection-wise: RCA, optical, HDMI, whatever.
If it's an "aux in" connection, this is probably where you want to plug in your console or TV. I can't tell you what type of cables and whatnot to use until you figure out what type of connections they are. Perhaps you could try describing the various (non-speaker) connections on this thing. Try describing how you have it set up currently. For example:
console -> HDMI cable -> TV
console -> RCA cable -> amp/sub unit
If you're really that confused about what a particular connection does, take a picture of it, post it somewhere (not here), and link us to it. I'm guessing it's either a standard red/white RCA connection (two round holes) or a digital coaxial connection (a single round hole). Less likely, but still possible, TOSlink will look like a phone jack. HDMI (which I'm certain this thing doesn't have) will look long and skinny.