No memory on radio?

Hi all I've got an mg zr facelift model. I've bought a second hand ken wood CD player but when I tune in my radio stations they don't keep saved once I turn my engine off and on.



I'm not very clued up when it comes to cars anyone no what it will be.



I've plugged the ariel bit in and plugged the two little socket things in that have all different colour cables I'm them.



Thanks

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