Your Sony MX-M500R is a tape player designed for use in automobiles. This particular tape deck comes with a security feature that requires you to enter a code on the included remote in order to unlock the unit. This code needs to be entered the first time you use the tape player or whenever you replace the car battery.
Unfold the end of your paper clip and enter it into the circular "Reset" hole located in the top-left corner of the tape deck. Depress the internal "Reset" button.
Locate the card remote control that came included with the tape deck as well as the supplied insert that contains the code information.
Press the buttons on the remote that are described in the insert to enter the security code and unlock the unit. Once unlocked you will have normal access to the tape deck.
Consult your Sony service centre if you cannot locate the code for your tape deck.