How to get my cd player to work?

I have a citreon saxo forte W reg and recently i have changed the cd player in it due to my old man being broke. However i have changed the cd player and plugged it all in etc and its working e.g. playing my cd's etc. However the one problem i have is when i switch it off and come back to it later the player doesnt remember the cd track or anything . Can someone plz explain why and how to fix this?