My New CD Player/Radio has a weird Antenna

you only need it if you can't pick up the FM stations you want.
usually FM wire antennae's are T shaped and you mount them on the wall in the best way to have the station come in in stereo, if straight down works, you are fine, other wise tack it up as needed. You move it around til you find what is best.

The old T-shaped ones that used to come with FM receivers as a cheap "starter" antenna are apparently now deemed too costly, so most new and cheap FM tuners come with a length of random wire. I suppose that it's also possible because a cheap integrated circuit actually does a better job of finding and holding a weak FM signal than the ones that were tuned by a variable capacitor did.

For $10 at Best Buy you can buy a nice shelf top FM antenna that's a great improvement over the random wire. So maybe skimping on the "antenna" is actually a Good Thing because it forces the owner to upgrade.