The Gamma has a ISO and Mini ISO connectors on the back, the blue, green and yellow connectors are the Mini ISO's and the blue one of those is for the CD player/changer.
In the dash to right hand side of double din bay there should be a 2pin connector with a grey/blue and brown wire this is for illumination of the CD player/changer, if you don't have that you can buy an adaptor from VW or chop one out of car at breakers and wire it up to dimmer cct and earth.