If you have a 2004 SE (as your profile states) and it did not come with the steering wheel controls you need to take it back to Nissan and point out the problem as they are standard equipment on your Xterra.
Unless you think you have an SE and really have an XE, which has happened before on here.
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"Never Stop Exploring" BOD Member SXFC
Garfield 2011 Red Brick Pro-4X
Radio Flyer 2005 Code Red Altima SE-R Sold
MagellanX 2003 Molten Lava SE 4x4 Sold
TabascoX 2001 Salsa XE 4x4 Sold