@hellyeah:
That is a 7805, converts 12V to 5V, I think yellow is 12V red is 5V and the two blacks are ground. But you can use a multimeter in a PC to make sure between red and yellow.
This chip has to get rid of a lot of current and hence, gets really hot, so as you mentioned already, a heat sink is required to prevent the chip from failing.
Also USE AN AUTOMATIVE FUSE on any positive wires you are using, you do not want a short circuit or similar thing to take your wiring down, for a CD use no more than 2A or if not available you can use 5A.