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here is a youtube video of the recommend modifications SFE MP3 Player D7 to D5 adaption. if a picture is worth a thousand words then a video is more.
Yes, The LED should be on. it is direct feed from Shields 3V regulator that is feed from the base Arduino 5V pin. It likely may be off due to the pins being shifted (miss-aligned). Have you seen the Red LED on the Shield on? (ever?).
The clicking could be many things, causing the output to pulse. There is no play button like sounds that it creates on its own. Likely a capacitive build up that is oscillating. The Shield will/should only play the file sent to it, as by the Arduino. So such sounds are not desired.
You should not need to solder anything to the VS1053 chip itself. But you will need header pins on the shields as to connect to the base Arduino. And it too will need header receptacles on the base ArduinoBT, if they are not there. It is possible to buy versions of the Arduino’s with or with out these header receptacles. And the SFE MP3 Player Shield comes with out them. Hence they need to be bought. A local RadioShack may have them.
Units are supplied without the headers as some customers don’t use the mechanics of shield structure but want to directly solder wires in there cases, or what ever.
Note the header pins on the shield are actually header receptacles, with very long pins that protrude through the bottom of the Shield as pins. Making them stackable headers. You can see this during the video. Note: the ICSP connectors male to female relationship is opposite of connection between shields.
Your description “the header polls are touching the circular metal rims of the mp3 player shield” is a likely source of the power not, illuminating the LED. Normally the Base Arduino has Female/Receptacles soldered to it, as to receive the male header pins from the attaching shield. As show in this picture, of two shields stacked, with out the bottom base Arduino.
Pins touching the annular rings of the solder pads are not sufficient. Either a solder connections of wires or solder connections to a good header/connector that applies the appropriate contact pressure, is required.
Note: there are various embedded web links are in this document, linking to referenced pictures and such.