Your system has a continuous play feature that allows another source (FM, AM, AUX) to automatically start playing once a CD has ended.
Using the continuous play feature
on the remote, press and hold alarm setup/menu until "setup menu" is displayed
press tune/mp3 > three times until "cont play" is displayed
press time - or time + to select fm/am radio, aux, or no
press alarm setup/menu to exit the setup menu or wait 10 seconds for the setup menu to end automatically