Please note this info is for the 1995-2000 vehicles. There is other info for others but you did not specify the year of yours. If the year does not match your please let me know.
The signal wire from the fan switch to the circuit board which tell the hvac control head to disable the compressor,recirculation door and default the output to the floor vents on purpose is only supposed to be active with 12 volts when fan switch is off. If it happens at any other speed but not all of them, as you describe, you have a faulty fan switch. It is replaceable individually.
http://www.amazon.com/ACDelco-15-72275-Heater-Blower-Control/dp/B0012P2KB4/. Inspect the harness that plugs into it as well and replace that with the pigtail kit, show on the same page, if needed. If it had happened to all speeds the circuit board may have been shorted out during the radio install in which case you would need this.
http://www.amazon.com/ACDelco-15-72547-Heater-Control-Unit/dp/B000C9GYOA/. There is also one that does not have a defroster switch on it if needed. Please note these unit are for the 1995-2000 vehicles. there are others but you did not specify the year of yours.