'93 Cutlass radio, lights, climate control problems

[redlines4us]

I've got a couple of problems I hope someone can help me with.
Here's my first problem:
I just replaced the factory am/fm Cassette player in my '93 Cutlass Supreme convertible with a factory am/fm CD player. All the plug-ins on the back were exactly the same. The main large plug had a piece of orange plastic slid under it. It was there from the factory, but I didn't know how to put it back in, so I left it out.
I noticed when I first hooked up the am/fm CD that the button on the steering wheel that says "Prog" does not work. All the other buttons work just fine. I have the preset stations tuned in so it should work to find my presets. Any ideas why this function doesn't work on my steering wheel? Any idea what that piece of orange plastic is for?
Now my second problem:
I noticed now after installing the am/fm CD that when I turn on my headlights the radio lights and the climate control lights flicker on and off. This only happens with the headlights on and no other lights in the car flicker and there is no flicker at all with the headlights off. Any ideas?
Here's my third and final problem: When I bought the car I noticed that the air conditioning or heat will not blow out the dash vents. The only place it will come out is at the windshield and at your feet at the same time. No matter which button I push it still comes out the same places. I'm sorry for the long read, but if someone could help me here, it would be very much appreciated. Thanks so much!! Bill Brown