Without knowing the specific make and model of the vehicle, I won't be able to tell you exactly what color wire in the bundle is for the power wire. So you'll have to do some testing to figure it out. All you'll need is a Multimeter

You'll be measuring between 11 and 18 volts DC, so start by setting the multimeter to the 20 volts DC setting.

Next disconnect the stereo to expose the vehicles wiring harness.

Now you'll have to locate the "ground" pin in the harness, or you could use almost any exposed metal in the vehicle (depending on make/model). The "ground" pin will usually be connected to a black wire, but this is not always the case. Once you've located a solid ground connection, connect the black probe from the multimeter to it.
Use the Red probe to test each pin in the harness, making sure to touch only one lead at a time. One of the pins in the harness should read between 11-18V, that's your power (always on) wire.
To locate the ignition wire follow the same steps as above, only this time have the vehicles ignition in the ON position. The ignition wire will be the pin that reads voltage only when the car is ON.
Most modern after market car stereos use the same wire colors.
- Black = Ground (-)
- Yellow = Constant (+12V)
- Red = Ignition (+12V)
- Orange = Illumination
- White = Left Front (+)
- White/Black = Left Front (-)
- Grey = Right Front (+)
- Grey/Black = Right Front (-)
- Green = Left Rear (+)
- Green/Black = Left Rear (-)
- Purple = Right Rear (+)
- Purple/Black = Right Rear (-)
- Blue = Accessory (power antenna, amp, etc.)
Make sure you connect the Yellow wire from the stereo, to the wire you identified as constant power earlier. If you do not locate a constant power source in the vehicles wire bundle, you can route one from the interior fuse box or splice it from a nearby source. However, you'll want to make sure this new power wire contains an inline fuse of the appropriate size.
Once you have the stereo hooked up to constant power, you should never have to reset your stations again.