Do you mean the wiring adapter harness? You buy one that is vehicle/mfg specific ... that plugs into t eh factory plugs on the vehicle's harness. The other end gets spliced into the radio's plug. The bare wires for each are labeled as to what their function is. You match up the wires and then either twist and solder them, then heatshrink tubing around the joint, or use electrical crimps and electrical tape.
Sometimes they are... The new adaptor harness will tell you what colors are what, either printed on the wires themselves or in a chart. Those get matched up to the radio wires, which are also usually printed with their function (plus the booklet that came with your radio has a chart as well).
The car side are the only wires where they won't be printed on the wire insulation, but that's OK because those wires will remain whole and terminate in the factory plugs.