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The HDR-CX160 does not have an Interactive Mounting Shoe. Yes there is a Microphone input Jack, however this Camcorder does not have a shoe interface to provide power to a standard Shotgun microphone. some Shotgun Microphones have battery power options in the event they are used with a camera or camcorder that does not provide power through a shoe.
There are no settings to enable an external microphone, once plugged in, the built in Mic is immediately disabled, and the plugged in microphone is the new audio input source. its all Automatic.
Other microphones such as the ECM-AW3 wireless were designed to clip onto the strap as show on the microphones instruction sheet. http://www.docs.sony.com/release/ECMAW3_EN_FR.pdf
please note the camcorder in the instructions has a headphones jack. the HDR-CX160 does not, this link is provided as an example only.
when using a shotgun mic you may need to use an Off Camera Shoe for mounting and or stabilization if attached to a tripod. a shotgun mic is not recommended for portable use with this camcorder.