02-03s (possibly 04s and 05s) suffer from a few problems when installing the 05+ STi Clusters:
blown fuses on the radio
Rear Diff light
The fix is rather simple and doesn't require soldering anything or ripping out the buzzers or any of that.
Phillips head screwdriver (stubby and normal length)
Crimp on insulated quick connects
Step 1: remove the cluster
Trunk Monkey has a good explanation of this.
Step 2: Carefully file down the one little peg in the STi cluster that will keep the stock plug on the left from going in
Step 3: locate the two wires
on the MAIN plug, cut wire B28 (yellow/green)
crimp on some quick connects should you ever have to plug it back in for the stock cluster.
on the RIGHT side plug, cut wire A9 (orange/white)
Again, crimp on some quick connects.
Step 4 is optional and involves silencing the R.Diff Temp light. The EASIEST solution is to simply throw some electrical tape over it.
The more ADVANCED way to do it is to Ground pin 4 but I was fine with just taping it.
Step 5 is the ABS Light. At this point, no good solution has been found. I taped it and left a LITTLE of the bottom of the A showing so that if the ABS DOES fail, I'll see the little yellow light go off. The solution involves backwards wiring the ABS circuit on the board to be OFF all the time until failure.
Step 6. Now, plug the plugs back in. The plugs are upside down on the STi, so just flip the cable ends over and plug them in.
I suggest plugging the left one in first as that's the plug end with 16 pins instead of the 14 on the WRX Harness.
Step 7. Shove everything back in, screw it all together and...
Set your redline and enjoy.
The redline buzzer will NOT work, just to let you know.
All the gauges work, the 'lights on' light even turns on to let you know that your... lights... are on.
So, there you have it... the FINAL SOLUTION to 05 STI clusters. Enjoy!