Replacing Concert HU

If you want to keep it simple then stick to the stock HU!

It would help if we knew the model year of the car.
The PC5-90 is the antenna amp adapter. All Audi's use an aerial amp buried in the boot somewhere. They use the actual aerial lead to swich the amp on, so this adapter takes the power antenna output on an aftermarket HU and converts it to the same so your aerial amp will work.
The PC9-404 is a simple wiring adapter, taking the standard RCA's from your new HU down to the non standard mini-ISO plug used on the Audi loom to feed the rear/sub amp.
1. Both adapters have flying leads which need to be connected to the "power antenna" or "remote on" feed from your new HU. This is normally another blue flying lead, so no cutting is required just a simple bullet connector or terminal block.
2. If you have a B6 A4 then you'll find the rear amp/sub very quiet compared to the front speakers. This is partly due to the new HU powering the fronts with twice the power of the Audi amp and partly due to the bizarre nature of the cheapshit amp Audi use. Bypassing this fisher price garbage is recommended. Rewiring is required - 2 sets of speaker wire from the HU to the rear amp is all thats needed = 15 minute job.
3. The PC5-90 is nothing to do with the rear amp
You'd still need the 404 adapter if you want to retain the sub, but you'd connect this to the sub pre-out on the HU and jack up the sub level. Personally I'd install a small 100wrms amp to power the stock sub or better still replace the whole thing.
I have a B6 Avant and there is loads of room behind the left cubbyhole for a decent MDF enclosure, and the amp can sit where the tupperware sub was located. Really transforms the sound and is relatively easy to do without any loss of boot space.

Yes.
Run 2 sets of speaker wire to the rear amp, then you need to chop the 4 rear speaker wires coming off the amp and connect them to the new cable, keeping +ve to +ve and -ve to -ve.
At the HU you just need to connect them to the stock ISO speaker harness on the new HU as the Audi one does not have any wiring for rear speakers. If the new HU has a seperate speaker harness then chop off the rear connections and connect the new rear cables to the HU side. If it doesn't then you'll need a male & female speaker harness adapter (£2.99 each from Maplins) and chop that instead, or extract 4 pins from the female side and insert these into the stock Audi loom.
The new HU should have a pair of RCA's just for the sub, these then connect to the PC9-404 to provide the feed to the sub.
The 03 A4 doesn't have a ignition on live, just a permanent live, so either pair up the red & yellow and turn the HU on/off manually, or you need to wire in a proper ignition on feed to the HU.
See this thread on how to:
http://www.audi-sport.net/vb/showthread.php?t=4644

He is right, you can't drive a sub without an amp, but you will be using the stock rear/sub amp already in the car.
You can just tuck the speaker wire underneath the trim rather than remove everything.