Your car has several different ignition positions. They each offer slightly different functionality.
Off: In this position, the engine is off, and so are your electronic accessories (unless the delay has not expired yet). You can still turn on lights (headlights, interior lights, etc.).
ACC: This is the accessory position. Turn the key to ACC if you want to listen to the radio, play a CD or use other accessories without cranking the engine.
On: In this position, all of the electronics should come on. This is also the position that the key will return to after cranking the engine.
Start: Turn the key to this position to crank the engine. Let go of the key when the engine is running and the key will return to the on position.
http://www.aa1car.com/library/ignition_switch_positions.jpg
I use to own a car that had an ignition that was ACC - OFF - ON - START.
Try turning your ignition one position clockwise and see if the radio turns off and the key comes out.
https://hackadaycom.files.wordpress.com/2008/08/ignition.jpg?w=450&h=338
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