You should find two wires that look like hoops (or "C"s) in the Thor bag. First pop off the trim around the radio (it just snaps into place--but be careful as it can break). Behind the trip you should find four holes--two on each side. You slide the hoops into the holes, then squeeze the hoops together and pull--the radio should just pop right out.
Once the radio is out just check that all the wires behind it are connected up and snug.
If you are really ambitious you could try to
replace the radio. (These days its really easy as Jensen also sends the plug-n-play harness.)