Make sure you're grounded to the chassis of the car directly, and that you use a star washer or some other method to make metal to metal contact.

Star washers are a must-have. I'd just like to add that it's also important to scrape the paint down to bare metal (protect with petroleum jelly) at the earthing point.

Additionally, it's a good idea to run the player on the seat in case it's getting a 2nd (unwanted) earth in the dash.