Car stereo loses settings everytime i turn engine off?

I bought a new car stereo and fitted it myself. It works perfectly and looks great only, everytime i turn the engine off it loses all the settings, so each time I turn the engine back on I have to tune in radio stations again, skip back to the CD track I was on when I got out of the car, adjust the sound settings, etc. I think it may be as I need to attach the stereo to the ignition somehow, but I dont know how to. Any ideas?