bought my golf all happy and sh!t apart from 1 little problem

installed my cd player and everything works fine,programmed the radio stations in adjusted bass,treble,fade etc and everything was gr8,or so i thought,on going back to the car i put my key in and it wont go back to the radio station i was listening to but if i press the program button it was installed to it goes to it (if u see what i mean)i had a look through the idiots guide but doesnt mention anything..............any ideas anyone