hey, this is a common issue, there are loads of post about this on here, i have recently created a guide on this but unfortunatly some of the images don't appear, site support should be sorting it out soon.
Theres another problem you may not be aware of, the old stereo worked using a CAN system (im not sure exactly what this is) to turn it on and off with the engine, the aftermarket stereo can't use this and beacuse there is no accesories feed to the stereo because the car doesn't have an accessories position on the ignition barrel the new stereo will only respond to the key if you do a little bit of wiring.
There are two ways to get it to work, the first way wont give you an ignotion feed so you will have to turn it on and off yourself, the second way involves a little rewiring but the stereo will turn off with the engine. The first method is;
it should be okay to leave the wires the way you have it, so you have on the ISO connestor you have the red at the car end matching up with the red from the dash, then on the ISO that red goes into the yellow which is the live for the stereo, all you need to do is to connect the other red piece from the stereo end to where your red and yellow join, this should give your stereo a constant feed of power but wont respond to the turn of the key so you will have to turn it on and off manualy, it won't switch off when you turn the car off so you need the remember to turn it off or you battery will die.
I tried this but i left the reds together and joined the yellow to them, it should be fine to do it the way i said above aswell.
the second method is to join the live from the car to the live for the stereo which is what it sounds like you have done, with the free red cable on the stereo end of the ISO which isn't connected to another wire, you need to join a wire (about 60cm long) to this, i got some wire from my local motor factor, stripped the one end and wrapped it arround the bullet connector on the red wire. Then you need to remove the steering column cover, there are three screws holding it on, then you have to use its flexibility and a little force to manuver it over the height adjusting handle and it should come off. Then with your new piece of wire that you joined to the red on the ISO, you need to feed the other end through a small openning in the right hand side of the stereo compartment, through into the steering column compartment. Then on the steerin column on the left side you should see two white plugs with a few wires going into them, we want the furthest away plug which has a orange, brown and red wire going into it, we want to join our new wire to the orange one. You can unplug the plug and remove a little bit of the black tape that roups the three together so you can work on it easily, then using a wire tap / scotch lock (
http://ecx.images-amazon.com/images/I/31YB4WD713L._SL500_SS75_.jpg) you need to join the new wire onto the orange, this will give you an ignition feed to your stereo, the stere should then work and respond to the turn of the key meaning you don't have to wory about leaving it on.
I hope this helps