Your system has a continuous play feature that allows another source (FM, AM, AUX) to automatically start playing once a CD has ended.
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