The anti-theft code is for the factory stereo. Once the factory stereo is disconnected, it will prompt for the code in order to start working again. If you are replacing that stereo...you do not need to worry much about the code.

If you are installing a new factory radio, you will need the code in order for it to start working. Dealerships have a database of the codes that are linked to the stereo's serial number on the back / sometimes the VIN of the car it came from.