There should be 2 power wires for your CD Player. A yellow one and a red one. Can't remember which one is which... but I think the yellow is 12V constant (connects to 12V battery and will have a fuse inline)... and the red would be the accessories switch to turn it on. The constant 12V is what keeps the memory for radio stations etc.
Check the manual for your headunit... it'll tell you which one is for which... but generally only one of the lines have an inline fuse... and that's the constant.