Do you have the factory infinity sound system, or just the standard system? Car Toys & Mobile One are two car audio specific retailers (not sure where you live). Buying the equipment from them will be much more expensive than purchasing off of eBay, etc. Best Buy, Fry's, etc. are fine as well, but will also be more expensive than reasearching the purchases online.
Here are the basics you need to know. You don't have to buy a new head unit, but you will need a LOC (line output converter) if you want to run an amplifier. Or get a new head unit and a LOC is not necessary if it has pre-amp outputs. If you want to run a sub, then you will need an amp. Depending on how powerful the sub is, you may power the other speakers through an amplifier as well... But it's not mandatory.
Call me Eddo
13 WK2 Trailhawk