Hooray! Something I can advise about finally!
Do you have an instruction manual that comes with the CD player? That should have a wiring diagram in it, which will be your first port of call.
You should also have a wiring harness with the CD player, something like this...
There will be three 'parts' to this harness, one that plugs into the back of the CD player, one that has the speaker connections and one that has the power connections. The speaker connections can easily be worked out by following the wiring diagram, it should be simple.
The power connections will most likely require a permanent 12V feed (from the battery live (+), an earth connection (to the body of the car / neg terminal on battery) and a switched live feed (to turn it off when the ignition is off).
Firstly, the switched live feed. This connection should be taken from the switched live side of the fusebox. However, it is optional, the CD player will work without this connection... you will just have to remember to turn the CD player off when you turn the car off.
Secondly, the permanent live feed. This should come from the permanent live side of the fusebox, or could come straight off the battery (+) terminal with an inline fuse - this is what I am doing temporarily at the moment.
Lastly, the earth. Simply connect like any other earth connection, to an area of bare metal on the body of the car.
To make the connections from the wiring harness to the power connections mentioned above you might find it easier to cut away the black plastic 'plug' and connect the wires from the lives and earth to the harness via a choc block. Modern cars with connections for a CD player already in place would have connections for this plug but the minor obviously doesn't!
You will have to look at the wiring diagram that comes with the CD player for the which colour wires etc but it should be pretty straight forward.
Hope that helps