Do you mean it turns off immediately when you turn off the power?
This would indicate a common sled wiring fault. Have a look in the FAQ.

No, that wasn't the fault as bauble reported it, the statement was the opposite...........
Quote 1) ............but my player only stays on if it has locked up. Otherwise, it shuts down when the key is pulled.

Quote 2) When it freezes, it often won't power off when I turn off the ignition.
Having said that, given the problems only occur in the car I think I'd be checking my sled wiring as you recommended

Cheers, Sim