The starter you got from autozone probly has a lifetime warranty so take it back. My opinion is the starter is bad. I had a starter that would not work every now and then. Ethan and James even had to come push start me one day. Changed it out and bam problem fixed.

Got new auto starter and it doesn't start. Is there any change wire or need to be add?

No difference in hooking it up

Really? something not right. It really start pissed me off.

It's something easy. Get a test light and see if you have power to the starter

Check your fuses.

Make sure you have the small wire to the starter hooked up. The one on top.

I check everything and still nothing.

The starter circuit on a old volkswagen is super simple, even simpler then equivalent era detroit iron, but there are some things that can go wrong.

Always start with the basics...check your voltage like Doug suggested. There isn't a fuse in the starter circuit http://www.thesamba.com/vw/archives/inf ... g_6869.jpg voltage comes straight from the battery to the column/ign via the light switch. pull the smaller red wire off at the starter, stick a volt meter onto it and have your better half turn the ignition sw to the start position. If you have 12ish volts your ignition switch is good and the wire from the ign sw to the starter is good too. if you don't have 12ish volts then check the red w/ black stripe wire with the voltmeter (turn the ign sw to the start position). Also check the red wire from the light switch to the ign switch for 12v, it should be hot (12v, not literally hot ) all the time. If your lights aren't working too then you got some bigger issues which need to be addressed.

Here is a couple of things to check:

ground strap at the trans like Dillon recommended
is the battery good? if the battery is dying it won't have enough umph to turn the starter. Advanced Auto or AZ can properly test the battery, to do it right you need to put a load on the battery, just using a voltmeter won't tell you a lot.
Check the battery clamps, if they are loose and/or corroded then it can effect starting.
ign switches fail and when they do they can cause this, my Aussie one went out on me recently. easy test is to "hotwire" the car. unplug the red w/ blk stripped wire and put 12v on it. if the starter works then it's the ign switch.
make sure the smaller red wire on the starter is on the TOP terminal like Billy mentioned. I made that mistake recently on Chuck's notch ( that was the only drama I had with the new harness )
lastly, if all the above checks out then and only then replace the starter.

add a monetary switch to the starter to turn the starter. I use to start my car back in the day with a screw driver to the solenoid.
Some old timer taught me that, from there I purchased a cheap horn button to turn the starter. Like Ninja said might be something different if you have changed the starter, you bought an Ultima battery, has to be something else.

Breathe, step away and look at it some other day so you can clear your mind. Or have someone go look at what you have done, might be something simple. Best of luck, been there. Relax, nothing gets accomplished while you are pissed off.