2000 Protege Radio Help

Hi...Today I took out my stock 2000 mazda protege radio and attempted to install a Sony Radio(the CDX-GT21W). I went to a local car shop and bought the correct radio harness and attatched that to the radio harness that came with my radio. After I had done that I went back to my car plugged everything in and started it but the radio wouldnt start. So i went back in side a little perturbed and got my stock radio to put back in(It was getting late and i was losing light) and when i put that back in it wouldnt turn on either. But if i turned my lights on the buttons would light up. Any thoughts???

A little history about the sony...I bought it a few months ago for my 92' Oldsmobile 88 and it worked no problem...so i cant figure it out

It sounds like there was an error in the wiring and you blew the fuse to the radio. There are three power supplies, switched (ignition) and unswitched (to battery), and lighting. It sounds like you got the lighting right. Find the error with your wiring and replace the fuse. If you see which fuse is blown, it should help you find the wiring error. It's most likely the unswitched connection. When you blow the fuse for the power from the ignition, it generally causes other problems as well.