Ok, have you tried the small blade fuse that is usually fitted in the back
of the headunit ?
It may be worth trying another headunit that you KNOW works just to
be sure its NOT the headunit.
Are you positive the wiring harness is the correct one for your vehicle?
Sorry if these suggestions sound obvious, but its usually the best place to start.
The guy from halfords who said the headunit needed to be connected via the ignition is correct, however, the correct wiring harness should do this for you.
You need 12V permanently so you don't loose radio stations etc, and 12V at ignition position ll, plus earth of course!
Hope this helps mate