Ok, I am not much help here, but does the wiring harness have an auxilary cable. I had the same problem with my 02 Z24 and I have heard that some of the after market wiring harness for the Cobalts don't have it. When you wire everything up the head unit will still not turn on. I am not sure, but that could be the problem. Hopefully someone else will weigh in on this with more expertise. Good luck.
Injen CAI/SRI Intake/2.25" Custom Catback Exhaust/Eibach Sportline Springs/17" Drag Concept Rim/ARK Shorty Antenna/Black Out Tail Lights, Side Markers, 3rd Break Light
2006 Black LS