Hooked up my new sony x plod cd player and everything works but no sound?!

I hooked up a sony x plod cd player I bought from bestbuy the other day in my 92 5.0 lx and for some reason my speakers wont work, but they worked fine with the stock radio that I just took out of my car? Everything is wired up right, cd player turns on, gets stations, but the speakers make no sound. I was told I either have a defective cd player or my car has a factory amp in it which is the reason why the speakers don't work?! I doubt my car has an amp right? If it does, where would it be so that I could correct the problem? I have all of the same color wires hooked up, and used a scoshe wiring harness adapter that plugs into the factory plugs from the original radio. I don't know what the hell is wrong with it? Anybody ever have this happen to them before?
 
I have found that there is another gray plug that is identical to the plug that went to the original radio. The second one is located higher in the dash, behind the heater control center. If Im not mistaken, the one you see and most likley plugged into, goes to the oem amp and or the equalizer. the gray one farther up in the dash is the one you want when installing an aftermarket radio with an internal amp.
 
Yea I recall there being 2 plugs on my car also and one was not used. You're probably plugging in the one that goes to the amp. There should be another that goes to the speakers.
 
It's a pita but I always run new wires for the speakers and by-pass all the old factory crap when installing a new head unit... mostly because I also install new speakers/amp/sub while I'm in there.
 
im not worried about that all I want to do is get the damn thing hooked up and have it work so it can be done and out of my life. Is the gray plug the on that is a little further up in the dash the one I need to plug into. it is currently plugged into a bright blue box. you can see it on the passenger side behind the console?