Any time power to the radio is interrupted (dead or disconnected battery, or radio removed), a security code must be entered to re-enable the radio.  If you don't know the code, go to a Saab dealer and show proof of ownership of the car, give them the vehicle identification number and ten bucks or so and they should be able to provide the code for you.  You might want to take the radio along too.

If you enter the wrong code and the radio refuses to work and doesn't ask for the code again, press and hold the "Band" button for five seconds until "CODE" appears and then enter the correct code.  THANKS to Jerry C for that one.