Fitting a Sony CD player in my 2003 Peugeot 206?

Hello, i have bought a new sony cdx-s22 cd player for my peugeot 206 and it works fine. However the memory disconnects automatically after 5 minutes of the car being locked, in which i mean the cd player resets to normal functions and any saved radio stations are not saved. Also when i take the key out of my ignition, the cd player continues playing and does not stop, unless i take the facia off....

Does any one have similar problems with their peugeot 206 and why wont any other cd players apart from the original 206 player work? Any ideas ofhow to overcome this problems?

Thank you