turn headlights on amp cut off

I have a 98 Nissan 200se that I have a system in that worked great until I installed an alarm in it. Now when I turn my headlights on the mid and highs amp shuts off. I think I need to put a relay in, but after reading about relays here at 12volt I am a little confused. Can someone help me with this problem? Here is every thing I have:

Kenwood KDC-X890 going to a Kenwood KAC-X542 and a Pioneer PRS-X720

The Kenwood KAC-X542 is powering two JL tweeters(don't know the model #'s) along with two Rockford mids(again no model # known) and a pair of MTX 6x9's

The Pioneer PRS-X720 is powering a pair of old school pair of Rockford Fosgate punch series 12's that I have running parallel and the amp is bridged

I also have two half farad caps, one for each amp

The alarm I have is a Microalarm  DLKEK8H  that I have hooked up to the parking/running lights,door switches,power locks, and a siren

I hope I have given enough info for someone to help me out.

Thank you in advance,

Darren

I forgot to mention I also have a relay that I had laying around. Here is what it says on the top: MAS rel 40 12 vdc 12v 30/40A and the wires that are coming out of it are: 30=Yellow,85=Red,86=Black,87=Blue

Thanks again,

Darren