So I just put in a JVC cd player in my blazer and when I turn the key off, the cd player wont turn off, as well as when the car is turned off and I open the door. The only way the cd player will turn off is if I actually turn it off by using the power button on the cd player.

Does anybody know what this could be?

 

I don't know much about wiring but it sounds to me like you wired it to straight power instead of the ignition switch so even when the ignition is off its getting power.

 

I agree.. I think the constant power wire is hooked up to the battery. Its the yellow wire on the wiring harness. Hope this helps..