The factory sub (and rear-speakers AFAIK) run from a MOSF... er, "amp" - If you've just got the ISO power-block and ISO speaker-block plugged into the HU (the two large plugs), you haven't got the amp connected. The connection for that is one of the smaller plugs that connects above the other two (well, on the Concert HU anyway).
IIRC (and as previously touched-on) there are two adapters available to connect an aftermarket HU to the Audi amp - one is for cars with Bose, the other for those with standard systems - they're both available from caraudiodirect.com and the like. However, (and again IIRC) they basically convert a speaker-level signal coming from the ISO speaker-block into a line-level signal for the amp. If you're anything like concerned about sound quality this isn't ideal.
The best thing you can do (I'd say) is look at connecting the Audi amp to the pre-outs on your HU - I'd guess the connections are similar if not identical (beware, pinout is probably different even if the plugs are the same). I wouldn't have thought it would be a particularly complicated job - if you can maybe post some more details about the stereo (exact model number), and what connectors (colour, number of pins etc.) you have left over from the Audi loom; I'm sure I'm not the only person on here who'll have a stab at advising you what's what. [Worth noting of course that if you can, posting pics to go with your descriptions will probably expedite the process]
Regards,
Rob.