You need to get the anti theft code from either the "anti-theft cards" in the owners manual, or if you have no cards then you have to get it from the dealer. They will need the serial # from the radio and you will need to show proof of ownership
The thing next to the transmission is the range switch for the transmission. Another question which could be easily answered by the owners manual. If you dont have a manual then I would order one from your local dealer. It is basically just a switch which changes the transmission shift program from economy to sport mode and/or to manual shift mode depending on the specific transmission system that your car is equipped with.