Factory Radio off of eBay

I just purchased a factory cd/mp3 radio off of eBay for my 2004 Colorado to replace the existing factory cd player. I didn't get the radio yet, but I was wondering if I must take it to a dealer to get it programmed or can I do this myself? I'm not sure if all of them have the theft deterrents or any other things to stop me from installation. Any help would be appreciated. Thank you.