I believe all the auxillary power is shut off to the cabin when the ignition is off and the key is taken out. Perhaps this radio has it's own temporary power?
i have a red and yellow tied together that i have runnin through a inline fuse system so i wouldnt blow the radio if i messed up. i will take a picture tommorow to show u what i mean.
That could be the problem. The red and yellow wires are supposed to go to different wires on the car. The radio should already have a fuse somewhere either on the red or yellow wire (don't remember which one it should be on) or on the back of the deck.
Did you use a wiring harness or did you connect it directly to the car by crimping or other means?