If you didn't already have satellite radio, you may want to check if you actually have the module installed. This is fresh in my mind because I added Sirius last weekend, but I'm still using the factory head unit. I won't guarantee that the factory cable will connect to an aftermerket head unit, but if you don't have the module in the trunk, the shark fin for sure won't work for sat reception.
Here is the writeup I followed...
http://www.vaglinks.com/Docs/Audi/C5...IY_Install.pdf
I removed the whole trunk liner to get more access, but still was done in about an hour.