You don't NEED to plug a stereo into the car harnesses to find out if a receiver works or not. I tested an old pioneer cd player I got from a buddy just the other week. Am I understanding this right, you don't have the wires that plug into the Lanzar unit? You need to find out on your Lanzar which wires/pins are for Ground, 12V hot, and 12V ignition and connect accordingly. I used an old lawnmower battery, didn't cost me a thing.
I found the manual online, unfortunately they don't give a pin-out for the wire colors, I assume this is because most people buy the unit and it comes WITH the wires... :P
You could always contact Lanzar, they might be able to help you out and/or sell you just their wiring plug