ive recently picked up a fairly well used 2002 neon. while i got a good deal on it it only had the am.fm cassette radio now i have found online where i can order a oem cd/cassette radio for 69.99 and i notice it says it may need to be reprogrammed to work with the car.
ive installed after market radios before but ive never heard of having to program a radio for it to work with the car

 

Some cars and radios have a security feature built into them. What is involved to reprogam it I don't know.

 

Leprechaun is right factory radio's often have a security feature built into them so that if they are stolen the radio does not work for the theif. You can take it to a dealership and they will reprogram it for you.
Personally I prefer aftermarket radios anyway you generally get better sound and more functionality for less money. They also have aftermarket radios that will fit the factory radio slot to keep it visually pleasing.