I have one
Mine plugged straight in. There's a connector on the bottom of the box which then connects to the round 'din' connector for the changer - do you have that adapter cable?. Did it come from an Audi? If not, then you'll probably need to flash the firmware.. phathack.com is the place to go for that as the phatnoise site is usually down.
You'll also need their phathack music manager to re-create the voice prompts if you're running Vista as the phatnoise software doesnt' work properly under Vista (also needs to be run as administrator). This can also allow you to run larger HDDs in the unit too 120Gb can be had for about 45 quid).