check your wiring, something isn't hooke dup right. sounds like you have the illumination wire hooked into the power of the radio to me.
You need 3 main wires to power up the unit, ignition power, constant power for memory, and ground.
Double check your wiring, and use a test light to find the right wires.
Alon
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'92 300CE - Sold
2004 C240 - 744 - C7 Wheels - Android Radio
2002 C320 - 816 - Sport Wagon
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