It's called Retained Accessory Power (RAP)
I wanted that feature ever since I got the car, so this weekend I put it in.
Cost about 15 bucks and maybe 90 minutes.
The Radio accessory wire is the gray one in the power plug for the head unit and I just tapped into the gray line.
The negative Door Trigger is the pink wire behind the small storage box that Ryan's Cheap Mod referrred to.

(Borrowed your picture Ryan !)
Now my radio keeps playing even if I take the key out of the ignition, and goes off when I open a door......
AH JESS LOV IT !!!