In IL it is not illegal to have a scanner. You should determine how many watts/amps the scanner is rated for. Looking up the model specs online should give this info. This will allow you to determine if you can splice into an existing power wire or if you'll have to run a new one.
Also keep in mind that if you run RCAs/amps, you could possibly induce ground loop noise if you ground the scanner poorly.
if it does draw a lot of power and needs its own dedicated power wire you can always use a relay to hook it up to an ignition fuse so it's still only on when the car is...