Happens to alomst everyone if im not mistaken. I think its because the car needs alot of power to startup and there is not enough to keep the H/U on. Just my guess...
I think that most HU's are installed on the accessory. the accessory turns off when you start your car, if you notice your a/c will turn off, everything on the dash etc. wire it to a constant 12vdc connection but be careful of leaving it on after you turn your car off.