There's a yellow wire that enters and then exits the factory radio. The yellow coming out is the switched wire that raises and lowers the antenna. Connect your blue wire from the CD radio to the yellow wire that goes INTO THE CONSOLE. This wire goes to the antenna relay under the arm rest.

NOT to the yellow that goes up under the dash, that is the switched hot power lead that goes to the radio. You can hook your new radio power lead to this but you will also need to find an always hot lead for the radio memory. Some people hook the memory to the cigar lighter but I would take a wire all the way to the fuse panel and plug it into a "batt" terminal.

The antenna gets it's actual power from the orange wire, the yellow just connects the circuit. When power is applied to the yellow(radio on) , antenna goes up, power disconnected(radio off) antenna goes down, powered by the orange. This is assuming you have a factory style power antenna. Some of the aftermarket antennas are going to be different.   Mike