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Head Unit: The first component you should consider is the deck. This goes in your dash and is used to control your system. All of speakers and your sub hook up to this "command center". They range from cheap to expensive, but it's a good idea not to be cheap. The more you spend the more features you get; higher-end models have niceties such as an equalizer, visualisations, and satellite radio. Head units include a built-in amplifier which powers your speakers, and are typically 4x50 watts.
Speakers: These are fairly self-explanatory. Sound comes out of them. As with all electronics, the more you spend the higher the quality. It is also a good idea to stick with name brand parts.
Sub-woofer: Commenly referred to as the sub. This is a specialized speaker, its responsibility is to reproduce the bass in a song. It is usally enclosed in a box, and is placed in your trunk. What brand and type you buy is dependent upon the types of music you typically listen to. If you enjoy genres with lots of bass (like rap for example), then you should invest more money in the sub.
Amplifier: The amplifier, or amp, is placed in your trunk along with the sub. It connects to both your sub and your car battery. The amp draws power from the battery and uses it to power the sub-woofer.
The first step in a successful installation is preparation. Having the right parts and tools can save you both time and frustration in the long run. It also helps to lay out all of your components to help figure out how they are connected. Look over your car and decide the placement of your speakers and decided how to route your wires for an aesthetically pleasing look. Another important point is to know what you want. If you buy your speakers and subs at the same time, you won't start wondering if they're balanced later on. If you want the bigger amp or the nicer head unit, then save yourself the money and the hassle and go for it. You'll probably end up buying it anyway, and then you won't have the old part you aren't using anymore or go through the trouble of retrofitting your system with the newer part. One more important planning aspect is consideration of your environment. You'll have to be outside for several hours, and this can be no fun in the middle of winter. If it is could outside you should consider a heater, and make sure there is plenty of light so you can see what you're doing.Here's a list of some basic tools that you'll need to install your new audio system.
The second step is to install head unit. First disassemble and remove your stock radio. Follow the instructions that came with your CD player and install it in your dash. Some decks can be inserted simply with the metal sleeve, while others require a mounting bracket kit. Make sure you know which category you fall in before you begin to help save some time. It can be very cramped behind your head unit. When installing, make clean cuts of the wires to ensure efficient use of the limited space. Also make sure to leave a couple extra inches of wire when your removing the stock radio. Should you ever have to reinstall the default system, this will make the process much easier.
Next up is connecting your speakers. Decide their placement for the best quality sound. Install them, and then connect the wires back to the head unit. A common mistake is to solder the cable back together before you put the heatshrink on while splicing wires. When you don't have an open wire end, it can be difficult to slide it one. This can be especially troublesome if your wire is already short, you might not have the slack needed for a clean install. While splicing and soldering your wires, a good rule of thumb is "Measure twice, Cut once. Think twice, Join once". It's much easier to change your mind than it is to change a bad decision. Another tip that applies to installing your speakers and your head unit, always solder the hardest wire to reach first. This helps to ensure that you cant complete the install because a wire is now inaccessible.
The fourth step is installing the subwoofer. The most important step before you begin is to make sure that your ported box can actually fit in your trunk. Drawing it up on paper is a good way to see if the sub will theoretically fit, but even then you may run in to problems. The best way is to construct a cardboard box with identical dimensions to your sub. This virtually guarantees that your sub wont be to large. Before you begin, it is generally a good idea to pull the battery. You are working with some big and expensive equipment at this point. If nothing else it will save you the aggravation of replacing several blown fuses. Once you have the sub in your trunk, connect it to the head unit. Then connect the sub to the amp.
Once you are all done installing, but before you close everything up, make sure to test your new system. Remember to try it with the engine on and off. It's much easier to fix a problem with everything already out than having to tear apart your car to find what's wrong. Once you've tested your speakers and everything sounds fine, you're ready to close everything up. After you're done, clean up the interior of your car and trunk. You've just put a lot of work into your car, so you should make it look nice.
Congratulations, you've just setup your first car stereo. Enjoy your new system!
LinksBook: The Car Stereo Cookbook
Car Audio & Electronics Magazine