As above.
A bit more detail.
Stereo needs a permanent live, and a switched live. Car communicates with its electrical stuff with data cables, called CanBus. These are the two tiny wires in the original plug to the original stereo. The original stereo is made to use this signal, aftermarket ones do not. You must not connect the canbus wires to the new stereo.
Best way is a canbus adaptor, plugs in between the car and radio and interprets the canbus signals, for ign on, lights on, speed signal, and reverse for nav systems, then sends analogue signals to the head unit.
Alternative, cheaper, but more hassle is to take a feed wire from the cig lighter, as an ignition controlled feed.