You need a 12v turn on. The system is typically referred to as RAP on the 04+. I'm not quite sure what the older models use. Anyways, VERY simple...you just need a 12V turn on wire in addition to a 12V always on wiring directly to the H/U. Essentially, the car is "smart" and separates accessories from the rest of the electrical system. This allows the radio to play after you turn off the car until the front door opens, etc.

Anyways, you could even put a switch in-line with a power source that is always on; i.e. run directly from the battery. Bottom line, you don't want the radio to be on forever.