First, this should be in the "Installation notes" forum rather than the "Off Topic" forum (because stereo installs are definitely on topic). But we'll let you slide this time.

Second, please be more specific about the buzzing. Is it coming from the speakers? If so, it's probably because the amplifier is active even when the player isn't inserted. It should turn on and off from the blue "Amp Remote" wire from the player, it should not be on all the time. The main power from the amplifier should be connected to a wire that goes straight to the car's battery and it should not be involved with the ignition wire in any way.

Can you give us more details about the stereo components involved? What kind of amplifier? Is there another stereo in the mix? Anything else installed we should know about?