The radio has to be reprogrammed at the dealership to reflect the addition of the CD changer. Also I assume you found the 3-wire electrical connector for the changer and plugged that in also?
I assume you checked to make sure the correct cables were selected, these typically have to be reconfigured for CD-only installations. There are 2 PAIRS of cables behind the radio and also 3 cables on each side of the trunk. The correct pair behind the radio need to be put into 1 connector, and 2 of the cables on the right rear need to be put into 1 connector for the CD Changer.

Gilly