Need some help with installing a Pioneer unit

I' trying to install a Pioneer SPH-DA110 into my 2009 A3.

I thought I had bought all the right cables for a plug and play swap but clearly haven't cos the thing doesn't switch on.

The harness I got (under the advice of Car Audio direct) is ct53-au01 and it has a red wire wrapped up with a sticker saying "Connect to a +12V ignition/under key". Does this have to go to the fuse box? Or can it be connected to the quadlock? And if so, is there a reason is didn't come already connected?

Any help would be hugely appreciated!

Ok, thanks. Don't suppose you know what fuse I need and what position to use?

Thanks guys. I finally got it up and working. Well, it switches on at least...