If your stereo has red and yellow or orange wires that requires +ve supply to work, you may have connected both to the 'ACC' supply which provides power only when your turn your ignition key to 'ACC' position.
To retain radio settings and other memory, the stereo needs a permanent supply (regardless of ignition key position). Check your car's existing wires for this supply line and connect it to only one of the two (either red or yellow). Connect the other to the 'ACC' line. If you still face the same problem, switch them.
Good luck.
bayang2, April 2007