problem with stereo/heater not turning off...PELASE HELP!!

Hey, everyone, i really appreciate those who read this and try to give me some tips on how to fix this problem. Ok so i installed a cd player in my del sol, and after a few days/weeks i started to experience this weird progblem. When i turn the ignition key off my stereo wont turn off neither my heater... I'm worried about this so much, because i go far distances with my del sol and it whould really suck getting stuck out there...also because it might kill my batery sometime when im not even aware of and have to spend another 130 for a red top... what are some things that whould cause that to happen? any ideas whould be helpfull... THANKS ALOT!!