The CD Changer cable you need is one that actually plugs between your stereo and the factory harness. It basically splits off the wires for the CD changer and runs them to the trunk. The cable you got is probably one for a Chevy. Those are different.
This is the cable you need:
This is probably the cable you have:
I would keep an eye on ebay for them. If you want, I can give you a link to a place that sells them (e-mail me ryanshucknet.com since edmunds doesn't like it if I say where to buy it here) but they are expensive ($75) from those guys. I got mine off ebay for about $35.