alls it is is that you have connected teh power wire up to the accesories power wire.
basically you should have several wires from your HU. one is ground (usually black), one is switched power (usually yelow) and one is perm. power (usually red) then the obvious speaker ones, rem wire, and anteneaa etc.
with the red, black and yellow ones, you earth the black one out, asper normal, the red, or permenant power wire runs to your battery, either directly, or VIA a existing power wire. use one of those power light things to see which wires you need.
this red wire should bee hooked to a wire that is ALWAYS on. wheter the ignition is on or off, it is still on.
the YELLOW wire or switched power, needs to be hooked up to a wire that is on when the ignition is on, and of when the ignition is off.
the perm. power wire is so that the settings, ie time, radio stations, and other settings, will remain when the ignition is turned off.
the switched is so that the HU will turn of when hte ignition is switched off..
hope this helps.. if not, i can try to explain it better tomorrow.. but it is far too late for me

Cheers
Nathan