You can connect a car stereo Alpine head unit to a Sony CD changer; the question is how best to do it. For some Alpine head units, you can control an aftermarket CD changer through the stereo's user interface. For such models connection is quite simple. Alpine decks do not allow you to control the CD changer directly. You will need to connect the two via an FM modulator.
Disconnect the vehicle's negative battery cable from the negative battery terminal for safety. Loosen the cable with an adjustable wrench and lift the cable's clamp from the battery terminal.
Remove the Alpine head unit from the vehicle's stereo mounting dock. Consult the vehicle's repair manual for removal procedures for your specific vehicle. Disconnect the stereo wiring plugged into the rear panel of the unit.
Plug the stereo wiring from the vehicle into the wiring harness adaptor leads. Plug the wiring harness adaptor into the corresponding outlets on the rear panel of the Alpine deck.
Plug the patch cables into the available wiring harness adaptor leads. Route the patch cables to the location of the CD changer. Plug the patch cables into the power and turn-on lead inputs on the changer. Replace the Alpine deck as instructed in the repair manual. Reconnect the negative battery cable and close the bonnet.
Lift the bonnet of the vehicle and disconnect the negative battery cable from the battery terminal.
Remove the Alpine deck from the vehicle's stereo mounting dock (as described in the repair manual). Disconnect the stereo wiring and antenna cable from the stereo's rear panel of outlets.
Plug the stereo wiring into the wiring harness adaptor leads. Connect the wiring harness adaptor to the outlets on the right side of the Alpine deck's rear panel.
Plug the FM modulator into the wiring harness adaptor lead. Plug the antenna cable from the vehicle into the antenna input on the modulator. Plug the FM modulator antenna cable into the FM antenna outlet on the lower left corner of the Alpine deck.
Place the main box of the FM modulator in the back of the vehicle's stereo dock. Feed the auxiliary input lead from the FM modulator into the glove compartment adjacent to the stereo dock. Replace the Alpine stereo into the vehicle's stereo mounting dock. Consult the repair manual for procedures specific to your vehicle. Route the input from the FM modulator to the CD changer and plug it into the appropriate outlet. Tune the Alpine deck to the "AUX" setting to use the CD changer.
The concept of the FM modulator is the antenna cable is connected to the Alpine stereo through the FM modulator for the purpose of power and ground.