I've replaced the radio in mine more than once and never had that problem. Check the contacts and the radio itself. Maybe it's defective. You might also have the ignition switch or the whole electrical system checked.
Try Crutchfield.com for installation kits.
Press "SET" and then use the keys on the bottom right of the radio.
The most descriptive answer is in a Chilton's or Haynes repair manual. Amazon has them cheap.
When in doubt, call a GM dealer's service department.
I like the factory radio with the CD player. If you're looking for aftermarket, go to http://www.crutchfield.com/ They have installation kits too.
Are you talking about the anti-theft deterrent for the radio?
Very simple. Just use a tiny adjustable wrench to remove the nuts on the bottom-front of the radio. It should just come right out.
I don't think you can install a new radio without removing the old one. If you mean replacing it with a different factory model as I have done with my '95 Skylark, it's a cinch. You might also try Radio Shack or Crutchfield.com to see if they have any harnesses that will adapt to your new radio.
It's probably about 20 watts or so. Maybe a GM dealer's parts department would be able to tell you.
Go to http://www.crutchfield.com/ They have all kinds of installation kits.
It should be in the middle of the ledge behind the back seat. (Or you could turn the radio on and find it that way....) You can also open the trunk and look for it that way.
1995 Buick LeSabre how do i reset my radio