Most stereos will have a power input and a rem, ign, or on/acc input. The power input will need to be connected to a constant power source; this can be either tapped off an existing fusebox terminal or wired directly to the battery with an inline fuse. The other input should be tapped into a wire on the car's on/acc circuit. This is the circuit that only gets powered up when the key is in the 'On' position.
This isn't just a VW thing; it's the common setup for almost any modern stereo in any modern car.