For some reason my radio would by-pass radio 2, straight over to radio 4, I finally moved the search manually, I had put the radio close to where radio 2 should be, then by stabbing at the control to move it along a little bit, (holding it down meant that yet again auto would take over), until hip, hip hooray, there was radio 2, I then held down one of the buttons until it made the beeps and... now I have the ginger minge every morning.
Auto search sometimes doesn't work try a bit of patience, be physical, spend some time caressing your instrument of pleasure sometimes that's all you need.
Mind you, if I couldn't find Classic FM, I wouldn't be such an embarrassment to myself by starting a thread about it, I'd have spent £30 replacing the radio with some sort of wind up one.