question bout coil

Taking my car apart to clean and do a clean install.  My question is what is the coil thing attached to the power input to my aftermarket radio.  Had it installed at the store i got it from and just want to know what the little box does on the power wire( has a coil inside). i would like to know what is is and what it does just for my information.  Thanks for your help

also when i took out the radio, an alpine CDA-7875 cd player, i noticed they didn't hook up an orange wire.  I think it's the illumination wire.  I have a 96 mustang if that helps.  i just did my first solder on it so i'm hoping i did the right thing because i never noticed a change in light intensity from the front panel of the deck .  And maybe that's why nothing really happened when i scrolled the options in the deck on auto illumination or something like that.  My other question is, am i gonna see a difference now that the orange wire is hooked up? I haven't put the radio back in yet, thought i'd ask here first about it.

the coil in the box is like a transistor for the power to the head unit.....almost like a surge protector..as far as the illumination wire i belive what it does is allows your back lights on your radio to light when you turn on your parking/dash lights when the radio is off....the louder the better !!!!!!

can you feel it ?????