Installed radio in a dodge i turn on the headlights and the radio

Sounds like you wired the ground to your headlight dimmer wire. It's grounded until you turn the lights on, then it goes hot, thereby leaving your radio without a ground. Better see which wire you tied in to the headlight circuit. Be sure to check the wires you are connecting to on the vehicle's harness with the key off AND with the key on to make sure it's pos. or neg. when you want it to be.