Is it an HU or a small box like the empeg's tuner module? Do you have a link to the specific model's product info page or at least the model number?

If it's not an HU, then I'd guess that's designed to connect to the antenna in on your existing radio. The XM unit would recieve the satellite signal, decode it and rebroadcast as a pre-defined FM signal that your existing radio can tune in. Did this thing come with a manual? If this is the case, you could buy some kinda adapter and plug it in to the antenna input on the empeg's turner module and tune your empeg to whatever FM freq the XM reciever is outputting.